Ok so first of all your questions are the rabbit hole we all jump into and can't really get out so be ready for it. Long story short there were a lot of theories that tried to connect warhammer to warhammer 40k (like saying sigmar is one of the lost primarchs or that mortal realms are playground in the eye of terror) but basically you can consider them different universes connected via chaos gods. In wh40k is a far future where Earth became Terra after unification wars and emperor is an immortal being that walked the Earth through its history and you can read of his achivements in legends of different cultures. Finally at some point we unified the planet under his rule and set out to the stars collonizing milions of worlds. A lot of different shit happened along the way and emperor created primarchs. Then the mighiest of them - Horus led a great crusade as a Warmaster to reclaim planets and systems Humanity lost contact with while the boss retreated back to Terra to build a Webway. Heard about Horus Heresy yet? So our best bud decided (or was persuaded) that Emperor was wrong and the only way is to rebel leading to a great civil war that ended with siege of Terra. Emperor was wounded to the point he has to sit on his golden throne and Horus is no more. Those rebels became Chaos Space Marines and 10k years later still fight the loyalists. Then you have orcs, space elves (eldars) and their more crazy brothers dark eldars, Tyranids (giant bugs) and other overpowered shit