Because you're a poor man

To install you need these:
http://www.vassalengine.org/download.php
http://vassal40k.wordpress.com/2012/05/28/vassal-5-4f/

Install the first, then place the files in the second one inside the Vassal folder, and open the module file from inside Vassal, giving you prompts like "search for online game" in a separate window. Then you just have to join a game by clicking one on the right.

To create your army you click "Models" to bring up a selection of bars on the left, with a circle and the unit in the middle. Click your player number above (e.g player 1) and it will create a grey box.

Then, like in the tabletop game, drag and drop the models (the unit sprites on the left) into the pool (your army) and then drag and drop them onto the "table" you'll see at the top when you need to.

If you need any further help feel free to ask.