I made a deal with a friend of mine that if he would do an Anima campaign  I would do a Dark Hearesy Campaign. 

The Illusionist sounds really fun and I am liking the spells. Can someone give me some good advice on how to properly play one.  I have never played DnD and this will be my first time playing a role playing game, so any advice would be helpfull.

First, the Illusionist doesn't need to do Illusion Magic. It sounds silly but it's true and a lot of people make this mistake.

So, the Illusionist is only a "able in secondary habilities/wizard" class.

You'll be a little less efficient in Magic than a pure Wizard. But you'll get bonuses in some skills.

You'll earn less zeon per level, and you'll have a MA multiple more expensive.

I'll advice you to choose well your advantages/disavantages to fit your character concept, keeping in mind that you won't be as good a wizard as a pure wizard.

It's an "hybrid", so, depending of your character concept, you'll need to focus a little on one of its sides (magic or competences), or, you'll need to keep a balance between the two sides. I can't say more without knowing more about your character.

The "Illusionist" is best played, given the skill set, as essentially a D&D 3.5 Bard or Rogue/Wizard.  It's a skills character with magical backup.  Illusionists will only work especially well in games that aren't combat heavy (that is, games where Secondary Abilities matter), but in those games the Illusionst will have some serious advantages from being a secondary spellcaster and still having a lot of useful skills (Persuasion is really hot for them).