First, go into the Data file in the game directory. Then, you can edit any of these files to change certain aspects of the game, such as: Names for both sides, weapon statistics, experience awarded for kills, vehicle statistics, Psyker power statistics, and more! All you have to do is edit the files.

These are the ones I have found most useful:

Accounting.dat - Experience
SpellDef.dat - Psyker Powers
VehicDef.dat - Vehicle Statistics
WeapDef.dat - Weapon Statistics
UltNames. - Ultramarine Names
ChaNames.dat - Chaos Names

Note that any changes you make may effect Chaos as well, so be careful, especially with the weapons!