Welcome to The Lost and the Damned Forum Nefarlox
If you've got the Mordheim boxed game (and it's all there), you should have everything you need to get started - fish out the black and white 'Getting Started' booklet and read through
If you find the booklet or rulebook is missing or perhaps that the Warband you are interested in dosn't appear to be in the rulebook, you'll be happy to learn that GW made PDFs of all the Mordheim rules available many, many years ago and they can still be found online to this day on various sites - anything you can't find, just ask and one of our members here is bound to have a copy
As for the painting and modeling side of things (including terrain building), have a browse through the
Fantasy Painting and Modeling Pages and the
Painting and Modelling Q&A Page - feel free to comment and ask questions on any post (old or new) or start a new thread for your questions, we don't have any stupid rules about that sort of thing
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~The ravings of a single mad Goblin is bad enough, but such a power-hungry, malice-filled creature as Mortis can never hope to be understood~