Of course:
You need to make sure you've installed Vassal and the 40k 5.4f module (guide
here)
Then you need to create an army list and set it up in Vassal (Guide
here) Have an army list saved in notepad as well as you will need it. You could also use the BattleScribe program
(link here) to create army lists. HOWEVER, I would double check it against the relevant codex as it is possible to create illegal army lists in it. Also please note we are playing 5th edition rules.
It also might be a good idea to read
this tutorial. It runs you through one turn on Vassal so you can get an idea how things work.
I've hosted all the information you should need on my Dropbox, please email me if you'd like access
We also use the PC gaming mumble server (details in sticky in PC forum) for chat so you might want to set that up if you haven't got it.
It all looks more complicated than it actually is, once you've done a turn or two it becomes very simple to use.