Ok, here's some of the major events in the 40k timeline.
Birth of the Emperor The Emperor is born in Central Anatolia.
Chaos gods begin to gain sentience. Khorne first, followed by Tzeentch and Nurgle. Slaanesh doesn't appear for some time yet.
Age of Exploration Humanity begins to colonize nearby solar systems using conventional sub-light spacecraft. At first, progress is painfully slow. Separated from Terra by up to ten generations in travel time, the new colonies have to survive on local resources.
Age of Technology M15 through M25 is a time of both technological and stellar expansion for humanity, where great and terrible achievements took place.
Dark Age of Technology Discovery of warp drives accelerates the colonization process and the early independent or corporate colonies become federated to Terra. The first alien races are encountered. Humanity continues to explore and colonize the galaxy. Contacts are established with the Eldar and other alien races. A golden age of scientific achievement begins. Perfection of the Standard Template Construct (STC) system now permits an almost explosive expansion to the stars.
Golden Age of Technology M20 is the end of the Golden Age. Legends tell that the Golden Race of Men had become dependent on the Stone Race of Men and their artifices, and as such the Stone Men prevail. Sometime within the next 5000 years the Men of Stone create the Iron Men to help in the building of their Empire.
Navigator Gene The development of the Navigator gene allows human pilots to make longer and faster jumps through warp space than was previously thought possible. The great Navigator families, initially controlled by industrial and trading cartels, become a power base in their own right.
Age of Founding The mining colonies of the Squat Home Worlds are founded and maintain constant contact with Terra. At this time Squats show no physical variation from normal Humans.
Alien Wars Mankind engages Eldar and Orks in first extensive warfare.
Age of Strife Humanity reaches the far edges of the galaxy, completing the push to the stars begun over ten thousand years before. Human civilization is now widely dispersed and divergent - with countless small colonies as well as many large, overpopulated planets. Localized wars and disputes with various alien races, notably the Orks, erupt but these pose no threat to the overall stability of human-colonized worlds.
Then two things happen almost simultaneously. First, humans with psychic powers begin to appear on almost every colonized world. Second, civilization starts to disintegrate under the stress of widespread insanity, daemonic possession, and internecine strife between these new 'psykers' and the rest of humanity. Countless fanatical cults and organizations spring up to persecute the psykers as witches, and/or degenerate mutants. At this time, the existence of the creatures of the warp, later known and feared as daemons, and the dangers they pose to the human mind with newly awakened psychic powers, is far from understood. Terrible wars tear human civilization apart. Localized empires and factions fight amongst themselves as well as against fleets of Orks, Eldar, and other aliens whose forces are quick to seize the opportunity to sack human space. Many worlds fall prey to the dominance of Warp Creatures whilst others revert to barbarism. Humans survive only on those worlds where psykers are suppressed or controlled. During this time, Terra is cut off from the rest of humanity by terrible warp storms, which cause starvation and strife in a society that had grown accustomed to imports for sustenance. Earth quickly descends into barbarism. Terra remains isolated for almost ten-thousand years, further accelerating the ruin of humanity.
Primarchs The Emperor develops twenty Primarchs, Lion El'Johnson, Fulgrim, Perturabo, Jaghatai Khan, Leman Russ, Rogal Dorn, Night Haunter, Sanguinius, Ferrus Manus, Angron, Robert Guilliman, Mortarion, Magnus the Red, Horus, Lorgar, Vulkan, Corax, and Alpharius, but they are scattered across galaxy by the Chaos powers before fully grown.
Great Crusade The Emperor embarks upon a titanic, 200-year campaign to reunite the scattered worlds of humanity with Space Marines created with modified Primarch gene-seed. During this time, accelerated techniques decrease time needed to create a Space Marine to roughly one year. The Primarchs are rediscovered and given command of an appropriate Legion as the Emperor reunites their worlds with the Imperium. This great work would continue until the Horus Heresy in M31.
First Founding The Emperor and Imperial scientists created the Space Marines of the initial 20 Legions, based on the gene-seed of the Primarchs and the Emperor. They were: Dark Angels, No Record, EmperorΥs Children, Iron Warriors, White Scars, Space Wolves, Imperial Fists, Night Lords, Blood Angels, Iron Hands, No Record, World Eaters, Ultramarines, Death Guard, Thousand Sons, Lunar Wolves, World Bearers, Salamanders, Raven Guard, and Alpha Legion.
Age of the Imperium Approximately M30 through the present represents the dominance of the Emperor or Imperium over humanity.
Great Crusade The Emperor utilizes the Space Marines on a campaign to reunite the far-flung worlds of humanity and locate the Primarchs.
Horus Heresy. The Emperor sends seven Space Marine Legions to confront Horus, but four of the seven defect. Marine fights Marine in battles across the Imperium.
Siege of Earth. Horus lays siege to the Imperial palace. Defenders are overwhelmed and forced back to the Ultimate Gate. The Emperor, Rogal Dorn and Sanguinius teleport onto Horus's battle barge. Sanguinius is separated from the Emperor and finds Horus first. Horus offers him a place by his side but Sanguinius refuses and is slain. The Emperor then kills Horus and is so badly wounded that he is incarcerated within the Golden Throne.
Great Scouring. Forces loyal to the Emperor drive the traitors into retreat, their will broken after the defeat of Horus. Gradually, many of the Chaos forces flee into the Eye of Terror.
Adeptus Ministorum The organization that spread the word of the EmperorΥs divinity was formed from the Temple of the Savior Emperor, the dominant Imperial cult at that time.
Age of Apostasy Against a backdrop of increasing warp-storm activity and assaults from Chaos and xeno forces, High Lord Vandire comes to power, converting the Daughters of the Emperor into his personal bodyguards. Sebastian Thor rises against Vandire's tyrannical domination of the Imperium. Vandire sends a Frateris Templar fleet to destroy Thor and his homeworld of Dimmamar, but the fleet is wiped out by a Warp Storm in the Clax system. Thor raises the Confederation of Light, a force comprise of Tech Guard, Space Marines and Adeptus Custodes to defeat Vandire. Circa 200M36.
Ordo Sicarius Tziz Jarek of the Callidus Assassins, under the orders of Vandire, kills the Grand Master of Assassins and assumes his identity. The Grand Master had actually replaced himself with a double, and emerged to gather assassins loyal to him and wage war against this usurper. Both sides utilized horrible weapons and abhorrent methods. Finally, the Grand Master succeeded in assassinating Jarek, disappearing afterwards into self-imposed exile. Inquisitor Jaeger, after investigating the wars, created the Ordo Sicarius to monitor the Officio Assassinorum and prevent a recurrence of the tragedy.
Conclave of Gathalamor Thousands of Imperial leaders, including the Chapter Masters of over eight hundred Space Marine chapters, reaffirm their loyalty to the Emperor at the tomb of the Great Confessor on the Day of Ascension at the start of M41.
999M41 Thirteenth Black Crusade. Abaddon the Despoiler launches his latest Black Crusade into the Cadian Sector.
007M42 By many fan estimations, this is the "current date," though given the wide variety of eras in which the game's history takes place and the name 40K, it's entirely debatable.
Up until the Horus Heresy, the Imperium was developing in a way of science and logic. After the Heresy, all that changed, being replaced with mysticism and superstition. Think of a medievil mindset with a semi high tech level. Technology is seen as a mystery. Understanding is replaced with ritual and repetition, and a sense of mysticism imbues everything. You would offer insense and prayers to the spirit of your weapon, reciting the catecism of true firing as you cleaned it.
The PCs are drawn from all walks of Imperial life, brought into the service of the Inquisition. Inquisitors are a semi secret organisation tasked with the safety and security of the Imperium. They have effectively almost unlimited power, able to do anything up to and including Exterminatus ... destroying an entire world.
There are three factions within the Inquisition, who deal with specific threats. The Ordo Xenos deals with alien threats, the Ordo Hereticus deals with witches (unsanctioned psychics) and heretics, and the Ordo Malleus deals with deamons. The PCs in this game will be in the service of an Ordo Malleus inquisitor.