Welcome to 40k 101. Today I'll start with everything that happens before turn one. Please keep in mind that this has been written for 7th edition. Also keep in mind that you may choose to use house rules for anything in any of the rule books if your opponent agrees.
Unless you're playing at a tournament or another event where the guidelines for building an army are laid out you'll need to consult with your opponent and agree upon the methods for setting up your lists. This includes point limitations, Battle-forged, Unbound lists, and how many detachments one can bring.
After the terms of list building have been agreed upon, you'll need to create a force roster listing out the units and what they have been equipped with. Gather your models into the units you have created and let your opponent look over your army and you his (pg 117 in BRB - Big Rule Book). Some times you may not have the model for a specified unit, if your opponent is nice enough then they'll let you use a stand in model. Be aware that some opponents may try to enforce "What you see is what you get" which basically means that the load out for a unit is determined by how it is modeled.
40k is a beer and pretzel game (i.e. not balanced for competitive play) that takes roughly 2 hours to play depending on game type and point allowance. If you find that by this point that your opponent is a neck beard and you're not enjoying yourself then I would advise that you politely step out of the game (this may be unavoidable at tournaments though...).
Now that both armies have been chosen it is time to pick your mission type. Some choose to use custom missions others choose to use missions from the BRB. If you go with the missions in the BRB you'll have 2 sets to choose from, the Eternal War missions and the Maelstrom of War missions. The main difference between the two sets is that Maelstrom uses Tactical Objectives (table can be found on pg 137 in BRB) and Eternal war does not. I'm not a fan of Maelstrom missions as they introduce so much randomness that the game type will make you lose even if you're owning your opponent.
What ever set you choose, you or your opponent roll a d6 and refer to the tables on page 129 of the BRB. Read the mission parameters correlating to your d6 roll. The mission should also explain which deployment set up you will be playing with. Maelstrom has pre-determined deployments whereas Eternal war has you roll a d3 (or a d6 using 1 and 2 as 1, 3 and 4 as 2, 5 and 6 as 3) to determine your deployment from a table on page 131 of the BRB.
Now is the time to nominate a Warlord of your army if you have not already done so. A warlord must be a character. Examples include but are not limited to: Captains, Chapter Masters, Sergeants, Named unique models, Librarians, Tau Commanders... Once a Warlord has been chosen you may generate a warlord trait by rolling on the tables on page 124 and 125 in the BRB or on the tables of your codex/supplement.
If you have a psyker unit you would roll for his/her powers now.
You and your opponent now roll for initiative. Whoever wins gets to decide which deployment zone they want to represent as there part of the board. Then the winner will place their models on the board and his/her opponent will do like wise after the winner is done. Whilst deploying you may elect to put units into on-going reserves. If that unit has deep strike or out flanking capabilities you must tell your opponent now that you'll be using deep strike or out flanking when the unit comes on the board.
Now that you and your opponent have setup it's time to infiltrate. Infiltration can only be done by units that have the special rule Infiltrate. If both you an your opponent have infiltrating units then you must roll off. The winner places one of their infiltrating units on the board, their opponent then places one of their units, and this alternation goes back and forth until all units have been placed.
The scouting phase comes next. All units with the Scout special rule may now make a scout move.
The player that won the initiative roll may now choose to go first or second. If they choose to go first then her/his opponent may attempt to Seize the Initiative by rolling a d6. On a 6 the initiative is seized and that player now goes first in the turn order.
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