Good going, but its more fun to explore the background of the setting. Read about it from the Warhammer wikis:
*wh40k.lexicanum.com/
Warhammer 40k
So, whenever you hear a new term used in the games or want to learn more about a certain unit in the game, then look it up here.
Also, play Dark Crusade after this, it's probably the best in the Dawn Of War 1 series. You can choose to play as one of 7 factions and you have to capture the planet that you are fighting on one province at a time, kind of similar to Rise Of Nations.