Something not specific to Dark Heresy, but GM'ing in general, is that there's nothing wrong with starting small. Your first adventures don't need to involve saving the Emperor from a rampaging Primarch. [Fluff fans are currently suffering brain convulsions...]
Clearing the cave of goblins and orcs, to save the village, is the best place to start. It gives everyone a chance to learn the rules, in a "confined space", while there's an emotional reward in the joy of the villagers.
Linear story, clear objective, 3 or 4 combat encounters, maybe a trap, a boss fight and emotional payoff from saving the village is rewarding and fun for players, without requiring convoluted sub plots or "interactive" NPC's. It also tends to prevent characters from infighting over "tough" story decisions. Players can still flush out their characters by interacting with each other, and you can include "hostages" half-way and at the end for the characters to have simple, heroic conversation with.
"The Elder's daughter has been kidnapped by the local orc lord, and he's going to eat her! Some other villagers were captured as well, please save them!" The PC's find a couple of villagers half way through the cave, tell them that it is safe to escape, and then rescue the daughter at the end.
It sounds cheesy, but that's because it works. Substitute Inquisitor / Crime Boss / General for the "Elder", substitute Chaos Cult / Eldar Raiding Party / Genestealers for the "Orcs and Gobbos", and substitute Space Ship / Tunnel / Warp Rift for the "Cave", and then sub in appropriate hostages. Make a map with space between encounters so that you don't reasonably need to have interference from later encounters... BAM! Instant adventure.
Maybe add a bit of cool gear part way through to give your party an increased sense of power. "Hey, I found a crate with a Heavy Bolter... and a Power Sword... and Power Armour that magically resizes and inserts the necessary hardware into your body to operate it!" [I'm killing some fluffies right now.]
Of course, if you can make things work with Koval, he's a great GM. Always nice to have someone running the game that knows what he's doing.