Well you're sure asking for a lot of fun! ^^
First thing you should know is that it takes a good amount of practice in animation and modeling software to know how everything works, what tools to use, how to convert, etc. ActorX is one of those tools you're going to need.
Next up is understanding how animation works. When importing from ActorX, you'll most likely end up with a mesh and skeleton. You need to determine what kind of
rig you want to use to animate the skeleton. If you're using 3ds Max you can set up IK chains which will 'drive' the skeleton the way you want it. Other programs like Maya and Blender also have great animation tools. There are various tutorials that can help you set up your first rig.
Here's a couple to get you started.
Skinning &
RiggingThese should help you get an idea of how rigging works. Also if you're interested, you should definitely read The Animator's Survival Kit by Richard Williams if you want to learn some universal animation techniques.
It will not be an easy thing to learn, but there's tons of support for avid learners wanting to animate their own short cg films, or machinimas, or whatever floats your fancy.
Also, I'll have to say no to your other questions about UDK. All animations and models must be pre-made and imported into UDK following a certain syntax. I don't know enough to help you get your models into Unreal. But before you start making leaps and bounds, you'll need to get a good grasp of exactly what it is you're getting into. And it's pretty fun once you get the hang of things!
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