First you need to set up your Unreal Script coding environment. There are many ways to do this and you may have your own preference as these environments are subject to the taste of the individual. I personally prefer using nFringe with Visual Studio 2008 to develop code, but lately I've been preferring a lightweight solution which uses Notepad++. Some use WOTgreal as well. Currently none of these offer debugging solutions to developing with the UDK, but hopefully one will come around in time.
- Setting up an nFringe environment
- Setting up a Notepad++ environment
Setting up a WOTgreal environment
There is also another powerful tool out there called UnCodeX, which allows you to browse through your code with ease, use shortcuts for creating subclasses, and generate HTML documentation for your code. I use UnCodeX no matter which of the three above environments I am in.