"Fools say that they learn by experience. I prefer to profit by others
Learning how to play a game isn't the same as learning the rules to the game. Certainly, knowledge of the rules is important, as it tells you what you can do and what you can't do. But figuring out strategies and tactics is something that is separate from simply knowing the order that you do things, or how many dice to roll.
That said, I started playing 40k at Games Day Chicago, in 2004. As with many of my hobbies, I tend to deeply explore the possibilities of games, and so started looking for websites about how to play.
Unfortunately, I didn't find a lot. There are dozens of internet forums, of which I belong to several. However, very few of them offer any insight into the tactics of playing the game. I can get army lists examined, and people will be happy to tell me which units are good and which are not-so-good. But there is almost no writing dedicated to broader topics, such as how to make decisions during a game, and fewer still that go into actual play tactics.
As I played games over the last year, I have slowly begun to formulate my own thoughts about these issues. I don't claim to have a magical formula that will allow you to win every game. In fact, I believe there are some matchups that are close to unwinnable, assuming your opponent is competent. But I do believe that understanding why some decisions are right, and why some decisions are wrong will make the average player better, and more able to enjoy the game.
That said, I am actually going to devote very little space to the art of list creation. There are plenty of other sites that offer unit-by-unit examinations of every army, and where you can post your list for the whole internet to critique, if that's what you want. I don't believe that the key to enjoying Warhammer 40k is in creating the strongest list possible, nor do I believe that doing so is as far as strategy goes in this game.