Start Normal, if it was a fun game I'll try the hardest mode. Like in Halo, I went: Normal, Legendary, Hard and Easy (for shits n' giggles) Although Bioshock was annoying on Hard because you just respawn in an annoying way.
There is no Easy in Dawn Of War. But Normal IS easy. So actually, if there are three difficulties, the middle one is the normal one, not the hard one.