All you really need to know for rogue trader is that there is a reality parallel to our own called the warp and it’s where daemons and chaos gods live. It’s where wizards (psykers) pull their power from so they are very dangerous and you also need to travel through it to go anywhere. Most things will be explained to you by mousing over the orange text while you are playing.

If you haven’t yet, you should listen or read (reddit link, only one I could find) an intro to the dark millenium. It’s not relevant to rouge trader but sets the scene for the universe the game takes place in very well.