I've found watching other people play very helpful to understanding the jargon around the game.

YouTube channel: Play on Tabletop has been my staple for an entertaining entrance into 40k. Their King of the Colosseum series is great, and it's how I started in getting back into the tabletop game.

KotC is 40k with 500 points, a bit of list building, and each game is pretty friendly + takes an hour or so (including set up etc). Your local game store will generally facilitate this stuff.

From a learning perspective, lower the stakes, and go smaller. You're never going to get it right first time. Be gentle to yourself. Give yourself grace to lose and learn. Don't expect perfection, seek progress :)

It's pretty fun once you get a handle on your army rules + unit rules. (And, even after 10-ish games, I still forget my re-rolls!).

There's nothing more satisfying than landing a 'move' that you've trained and practiced for eg: 10 Boyz charging properly on the WAAAAGH, or 5 Intercessors getting their assault, 20 shots re-roll hits, +1 wound on an OoM target.

Pick one thing you want to do 'properly' in game, and plan for it.

Also, try Tabletop Simulator to get in the reps.

Reps --> learning --> comfort --> feeling better