The setting is one of those things where it’s such a broad and expansive setting, with just so much stuff, that there isn’t really a singular thing you can point to and say “this will introduce you to everything”. The best you can do is learn a bit at a time until you have an overview of things.
Two of the series (technically 3) that are considered some of the best W40K fiction are the Gaunts Ghosts series by Dan Abnett, and The Eisenhorn/Ravenor trilogies…also by Dan Abnett. His stuff is just great generally.
Gaunts Ghost series follows an Imperial Guard regiment over the course of multiple missions, planets etc. It would show what things would be like for a typical Imperial Guard soldier, although that’s something that varies massively depending on the regiment.
The Eisenhorn/Ravenor series are both about Inquisitors and their retinue carrying out an investigation on a Hive World, so relevant stuff to the game. They’re somewhat linked to each other, although you don’t have to read the Eisenhorn stuff before Ravenor.
There are plenty of other great novels but those would be a good starting point.
I’m curious, what makes you think the setting is a “Dune Knock-off” though?