A good place to start is Final Sanction and Oblivions Edge under the Deathwatch section of the website, they are free and intended for new characters. Also you want to look up the FAQ for both adventures and read through them ahead of time.
Do not attempt to do character creation while everyone is not at the table. Run through character creation with all players attentive and paying attention to the process so that each player may see the differences in thier marine versus the marines in the squad.
It might seem like a chore but have a character generation cheat sheet printed for all characters if you do not have more than one book. The sheet should include the following and be printed from a clearly readable word document.
Chapter bonuses from each chapter, and what specialties cannot be taken.
Specialties and a brief description of how they can be customized to suit other roles.
Brief description of each chapters solo mode and squad mode abilities.
Starting Marine weapons, damage, type, rld, ROF, everything they need for each starting marine, as well as marine specialties.
Now when creating characters you can go through the process in a quick fashion by allowing players to see the cheat sheets while simply saying "these are your character creation options, I would like you to consider each chapter you would like to play while rolling your stats".
Following that you have them roll up thier stats, and if anyone has a specific question about a chapter you can read some of what the chapters beliefs are and doctrines from the book, for all members to hear.
This process allows you to RP that each marine is being put through the inital hypno conditioning and induction into the deathwatch with his squadmates, and then allows you to immediately pick up a mission that has a great starting point for learning combat. I would suggest also using a combat quick sheet for each player, with some of the bonuses and negatives to combat listed from the GM's screen on it.