It's a war game based in the 41st millenium. The rules are quite complicated, so I won't try to explain them here, but go to Games Workshop stores - all over the country - to get the members of staff to explain the rules to you. The staff in Games Workshop stores are very friendly - as long as the store's not too busy they'll probably give you a small introduction game.
       Instead of explaining the longwinded and complicated rules to you, I'll interest you with something different - details about the Warhamer 40,000 Universe. Now, the Warhammer 40,000 Universe is one ridden with war, with lots of different, alien races in it, fighting for domination. Humanity is just one of these races, and is teetering on the brink of extinction, even though there are uncounted billions of us. That gives you some idea of the alien threat in the universe. The main armies available to you are:
Space Marines
Imperial Guard
Sisters of Battle
Tyranids
Orks
Eldar
Dark Eldar
Tau (Kroot)
Chaos
Necrons
 You can collect any of these armies, represented by small models, moving and "fighting" on the battlefield. But, before I'm tempted to tell you the rules, I'll tell you about the races. Here goes:

Space Marines

These used to be human, but a better definition of them now would be "superhuman". They are, quite frankly, hard as nails, and are Mankind's last hope. They are toughened up by genetic engineering, a harsh regime of training and incredibly strong ceramite power armour.

These particular Space Marines are from the chapter of Black Templars. There are said to be a thousand Space Marine chapters, each containing a thousand Space Marines. Each chapter of Marines is responsible for its own recruitment, training, equipment, strategy and organisation. All practice unswerving loyalty to the Emperor of Mankind, who is currently in a coma. Oh well, nobody's perfect. However, Space Marines do what the rest of the Imperium of Man consider heretic - they praise their Primarchs with the same enthusiasm as they do the Emperor. Their Primarchs are the founders of their chapters.

Imperial Guard

Imperial Guard are also human, and defend the Imperium from aliens, but they are not as tough as Space Marines. However, they make up for this with sheer numbers - there are uncounted billions of them, remember?

They are armoured in nothing but flak jackets, and armed with lasguns - not particularly formidable on their own, but deadly in the numbers that they are fielded in. They too swear loyalty to the Emperor of Mankind, and fight to protect him.

Sisters of Battle

Sisters of Battle wear the same armour and use the same wargear as the Space Marines. However, they are more loyal to the Emperor, and are, every day, fighting a constant battle to cleanse the world of heretic and alien scum. They have no Primarchs - their loyalty is purely for the Emperor and no other. They have a very limited choice of models, and as such, their armies are very simple.

Tyranids

The Tyranids are bio-engineered killing machines. All of their wargear is grown onto them at birth, and develops as they grow - i.e, their weapons are part of their arms. They are very, very ugly, but terrifying.

This is a Hive Tyrant. They are the leaders of the Tyranid hive fleets, or the closest to it that the Imperium has even seen.
The Tyranids are driven as one creature by the conscience known as the Hive Mind. The orders of the Hive Mind are transmitted by Synapse Creatures, such as the Hive Tyrant above. Tyranid lesser creatures are not capable of doing anything other than what the Hive Mind tells them to, even if it means trampling other ones of their kind to do so.

Orks

The Orks are incredibly stupid. They are all very heavily built, to say the least, and their vehicles are nothing more than a few plates of metal nailed together with an engine underneath. When they are bored, they shoot each other, but usually don't kill because they can't use their guns and miss.

They know nothing but war. They are the single biggest threat to the universe, and peace and reasoning is utterly incomprehensible to them. Their tactics are not  advanced, but they make up for this in sheer number. In a battle, it is not unusual for them to outnumber Space Marines five to one. Because of this, Ork Warbosses frequently carelessly dump large numbers of Orks into obvious suicide positions, as they are expendable.

Eldar

The Eldar are a mysterious race, and have the most advanced technology in the universe - rivalled only by the Necrons. They were also believed to be the oldest race, until the Necrons appeared. They used to rule most of the universe, but are now scattered remnants of a race, destroyed during the great Fall.
These are Eldar Guardians. They form the main bulk of an Eldar army.

Dark Eldar

Dark Eldar are an evil race, obsessed with torture and pain. They are space pirates, and specialise in speed and agility lacking heavy armour and weaponry, instead of the approach of, say, Orks, for example.

These are Dark Eldar Warriors, which form the main bulk of a Dark Eldar army.

Tau

Tau are a very young race, less than 6,000 years old. They were first sighted discovering fire by the Imperium, 6,000 years ago. Then, major storms between the Imperial sectors of space and the Tau homeworld separated the two, and the Imperium came back after the storms were over to find an incredibly advanced race. The Tau would prefer peace to war, but realise that they must fight to survive in the universe of the 41st Millenium. They specialise in long range war, with many powerful guns to overcome their foes before they get close enough to muller them in combat. They prefer to leave close combat to their Kroot mercenaries, which are a very vicious but intelligent race and only fight for the Tau because they are being paid in the blood of their enemies.
Tau Fire Warriors, forming most of the Tau army, are not very tough or strong, but their pulse rifles and carbines are, and they are some of the best standard infantry guns that Warhammer 40,000 has to offer.

These are Kroot Carnivores. They specialise in close combat, and are armed with Kroot rifles. These enhance their combat abilities with the scythe on the end of them.

Chaos

Chaos are the evil heretics that betrayed the Emperor during the Horus Heresy. Horus was one of the Emperor's finest and best trusted warriors, until he turned against the Emperor. They fought in a combat that left Horus dead and the Emperor in a coma.
And then, of course, they reckon the Emperor betrayed them.

These are Night Lords Chaos Space Marines. They are only 1 Legion of Chaos - during the great Horus Heresy, fully half of the Space Marine Legions betrayed the Emperor and turned over to Horus' side - Chaos.

Necrons

The Necrons are the oldest race - old beyond imagination, older even than the Eldar, who, before the Necrons were discovered, were believed to be the oldest race. The Necrons started off as the Necrontyr, short-lived people on a vicious-weathered home planet. They were constantly being killed by the astronomical sand storms on their planet, and their high mortality rate was really starting to get to them, when, lo and behond, the Deceiver appeared. The Deceiver is a C'tan, a god, capable of destroying entire galaxies in the blink of an eye. The Necrontyr had been pursuing the Old Ones, people of great but cold-blooded wisdom and knowledge, who had given them this planet and a cruel start to live under. They could not, however, chase these great beiongs with any success because of their high mortality, so the Deciever offered them immortality. However, there was a catch. To gain immortality, they had to give up their "cursed" fleshy bodies and become souless skeletons of living metal. Of coure, this would solve all of the Necrontyr's problems, so they accepted. Now, they exist only as slaves to the C'tan, trapped in their living metal bodies to hunt down and destroy the Old Ones for the rest of eternity, or die trying.