Creating an entire game is a hard and time consuming project.
First of all I would recommend that you start with a small project, even though it is tempting to just go ahead and make the game of your dreams. Been down that road before..
Go to this page: http://udn.epicgames.com/Three/WebHome.html and click and read everything that is relevant to your game.
This is important so that you have a small understanding of everything before you start.
Then go ahead and follow some tutorials, and you'll probably have to read most of the documentation again..
I know this seems hard, but to get it right, this is the way to go..