To play a game of Warhammer, you and your opponent will need to decide the size of battle to fight - the larger the game you want to play, the larger the total points values of your armies. The total points value determines the maximum points you can spend on your army.
For example, you may decide to play a 3,000-point game, in which case the total points value of all models in each players' army must come to 3,000 points or less. Normally, this will mean that the armies will actually be a shade less than 3,000 points, as it's quite hard to spend every last point.
Quite what that value is will depend upon how long you want the game to take. At 2,000 to 3,000 points per side you'll have enough models for a battle, yet small enough to be over in the space of an evening. On the other hand, many an entertaining game has been played at 1,000 points, or even lower. Such battles normally take around an hour - perfect for a smaller warband-sized games, or 'practice' battles where you can try out new units and strategies. Larger games take proportionately longer (and take up a lot more space) with games of 4,000 points or more providing enough miniature carnage to occupy a goodly portion of a day.