Considering how many responses there have been, I may as well elaborate a bit more.
Like someone mentioned earlier, the PC would in all likelyhood be a newly appointed planetary governor. You'd have a range of potential back-stories to choose from (IE: Imperial Guard Commander, Political Exile, Cardinal, Rogue Trader Scion, Machine Cult Magus etc.) in addition to having a say in what your "homeworld" is like (IE: Forgeworld, Shrineworld, Hiveworld, Space Station Orbiting a Deathworld, etc.).
You'd spend your time consolidating your control over your homeworld at first, with your decisions earlier impacting what that will entail and what you stand to gain. As an example off the top of my head, if you decided to claim (or for background purposes, were stuck with) a Deathworld as your starting point- you could spend the early game trying to earn the trust, allegiance and ultimately subservience of the native human population. Once you pulled that off (maybe by building Imperial monuments to impress the loincloth wearing cretins, maybe by sicking Adeptus Arbites cyber hunting dogs on their children) you could offer up the best of the native stock to a Space Marine chapter as recruits in exchange for protection and possibly political leverage at a later date.
Regardless of specific circumstance, you'd start out by maximizing the resources of your homeworld, and branch out from there. Acquire resources, strike up rivalries and alliances with the different imperial factions, and be constantly beset by disaster and invasion at every turn. Ultimately you'd aim to become the Imperial Commander in control of an entire sector of the galaxy, with Rogue Traders & Space Marine chapter masters asking you for favors.
