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!