Imperium
The Imperium of Man is, as the name states, for humans and humans only. Xenos are not tolerated and certainly not accepted within its borders. So, they wont take any PoW from Xenos, they'll even eradicate the civilians from planets they conquer.
Chaos is the arch enemy, even worse than Xenos. While temporary alliances with Xenos, e.g. Eldar, can be tolerated, Chaos is eradicated when sighted. However, simply cause a planet was invaded by Chaos does not mean that all are killed. But all are deported and e.g. put into work camps, as can be with the first war for Armageddon:
Although they had won, the victorious soldiers of Armageddon were doomed. They had gained knowledge of the existence of Chaos, and been exposed to its corruption. The Inquisition had all of the people who fought on the planet, except for the Space Marines, sterilized and placed in work camps.
From the Lexicanum article on the First War for Armageddon
If a planet with a human population is conquered, they are not simply eradicated. The planet then belongs to the Imperium and has to pay its tithe. I can imagine, but have no quote, that human soldiers are integrated into the Imperial Army (probably as Penal Legion).
Chaos
Forces of Chaos raid planets in order to get slaves for their dark purposes like the Daemonculaba. They do not only take humans as slaves but also e.g. geneseed of other loyalist Space Marine chapters. So, they take PoW directly and some CSM could be considered PoW as they're not in the chapter they'd belong to.
Eldar
Eldar don't fight traditional wars like humans do, they also consider humans and other races as inferior. They kill or evict people from planets they consider theirs.
Dark Eldar
Dark Eldar also don't wage war like humans do, they raid with the specific purpose of getting slaves they can put to work or torture. So, in a way, they take PoW but death would certainly be the more merciful way.
Orks
Orks also don't wage war, they fight. While humans consider it a war (e.g. Second War for Armageddon), for Orks, it's simply leisure time. I don't think they take PoW, that would be a waste of enemies they can fight (but have no quote)
Tyranids
They eat everything they meet, so you win or get eaten.
T'au
T'au make use of human soldiers, they are combined in the Gue'vesa Auxiliaries:
The Gue'vesa (literally, "Human Helpers") are Human soldiers who serve as Auxiliaries in the Tau military.
From the Lexicanum article on the Gue'vesa Auxiliaries
Also, when they've conquered a (human) planet, those that are against the new rulers are not killed but reeducated or sterilised:
Whilst many assimilated humans do enjoy more liberties and comforts than they did under Imperium rule, those who stubbornly resist are sometimes interred in re-education camps or subjected to sterilisation programs.
From the Wikipedia Article on the T'au Empire
I imagine that human soldiers that see the error in their way are included into the Gue'vesa Auxiliaries and those that resist are sterilised.
Necrons
Not a unified force. There are some like Trazyn that don't simply kill everything but, in his case, collect some and put them into stasis in his collection (which can be considered PoW)