Can you just pick what discipline you want with your imperial psyker? Or do you have to start with a certain one and progress through?

Once you achieve the rank level required to gain a Discipline you can simply pick the one you want to use. ( see DH mainbook pg 120 under listing Psy Rating 3 ( the earliest you can gain a discipline normally ) for the exact wording ). Also see DH mainbook pg 121 under listing Psy Power ( this is the talent to pick to gain more psy powers within the discipline(s) you already know. After Psy ratings 4,5 and 6 on pgs 120-121 and read the listings each has for how many discipline powers and/or disciplines you gain.