So when you first get started a lot of tutorials tell you to add tot he main Content folder within the ie they tell you to save your first map in C:\UDK\UDK-2011-09\UDKGame\Content\Maps
For me this is way too messy and organised, what I didn't appreciate at first, is that you can save anything anywhere as long as you point to the right folder in your code. So with this being the case I can be as anally retentive as my OCD for organised file structure requires.
With Maps being a bit old school, I've opted to follow the UT3 structure
So as you can see it's all under the main folder which for me makes sense if it's the game they are all for 'MyCustomGame'
The beauty of this is that if I want to update to a newer version of UDK or put my files under version control, it's far simpler to have it under one directory than spread out across the many subfolders of UDK.