Keep if fairly small and simple so that you can get the hang of the core mechanics.
So avoid, Wizards, War Engines, Flyers and Monsters. 1000pts of core troops should be plenty for a starting game - perhaps even drop to 800 if you avoid the specials I listed at the start.
The key bits to understand are:
Command, how the modifiers work, how brigades work. Getting multiple moves. The general (normally) wants to order last as his failure ends your turn. Initiative.
Shooting - the basic to hit and wound dice rolls. The effect of shooting (occasional stand removal, vs drive backs)
Combat - lining units up when they charge. Modifiers (these generally add dice, rather than changing the to hit score). Multiple rounds of combat. Advances to new combats.
Combats can be involved and it is best to step through them until you get the hang.
WM has some fiddly bits - but it is a fun game, so good luck and have fun.