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Make sure to keep a backup of all the files you are editing.
First, open up your Dawn of War\Profiles folder and choose which profile you are going to use. Now go to \W40k\singleplayer\campaign\state1 and open up "campaignstate.lua" with some type of text editor (I suggest notepad or wordpad). Now you need to change two lines. The "maxmission = #" and the "scenario = #". Just change the # signs to whatever mission you want (the maximum is 11 and both # signs have to be the same). Now have fun playing.