Matt Doyle has an 11 part intro into using scaleform in UDK over at scaleformpress which is pretty good at giving an overview, but the UDN site is still the best place for up to date info on scaleform in UDK.
If you read through the getting started there's a few things I want to point out:
First of is that all .swf files must be published into the Flash folder
C:\UDK\UDK-2011-09\UDKGame\FlashYes, I'm still running September because I'm still happy with it, I'll probably move to the latest version so I can play with GfX 4.x soon enough.
So, this is where all swf files have to live in order to import them into UDK, which is probably to do with the fact that the gfxexporter (C:\UDK\UDK-2011-09\Binaries\GFx\gfxexport.exe) uses an absolute path as it runs when you import an swf into UDK (guessing here). This brings my onto my next point; you can create your own subfolder within 'Flash' and this will be used as the package name for all your imported flash / scaleform content ie I chose
C:\UDK\UDK-2011-09\UDKGame\Flash\CWHud and the import process automatically created a package 'CWHud' for me.
One of the nice things in UDK is that you can save you packages wherever you like, so now I can create a nice tidy UI folder in my content folder: