The UDK download page is fancy, but doesn't have a direct "Here's how to
get started" page for it.
The more general UDK documentation site has a wealth of resources, including its own Getting Started page; however, it still lacks a simple guide for actually installing UDK itself.
Because of this, I'm going to take a stab at writing one, including eventually a guide on learning the basics of UnrealScript as a first language.
I have just started this (June 7, 2013), so I'm putting up a template, and will be filling it out over time. Feel free to give me a nudge if you like the early sections, and I havent gotten around to writing later ones yet! :)