I've never GMed before but I have played the game and know the rules and Ive played warhammer 40k for the better part of 10 years now, I just need some kind of adventure idea to start me off in the right direction.

I'm also worried about fighting enemies that are too weak or too strong for the group.

If someone could give some ideas or point me in the right direction that would be good :)

I was worried about that, too, when I started GMing Deathwatch. I decided to 'ease into' the game by running a few 'training sessions' to get a sense of the power levels involved, and how Horde mechanics work. To that end, after roleplaying the newly recruited PCs arrival at the Watch Fortress and their first meeting with the Watch Commander, they were sent to the Fortress' training arenas to fight waves of combat servitors: both individual 'Astartes-grade' servitors (from the Adversaries section of the Rulebook), and some Hordes of 'commercial-grade' gun servitors (from the Adversaries section of the Dark Heresy Rulebook). This was very helpful in giving me a sense of what constituted a 'legitimate threat' to a Killteam, and also gave the players a good idea of how resilient their characters were (one of them stood in the open while facing a Horde of autogun-armed servitors, and learned a valuable lesson on just how much damage Hordes can inflict…).

Thanks man, that is a really good idea, I'll be sure to do that!

Deathwatch was my first time GMing too, so to help get a feel for how a mission should go down I did a pre-con and observed how everything went down. It was really helpful for me when it came time to write my own missions. Really look for a pre-con that suites what you wanna do with your Kill-Team and go from there. Hope this helps man.