Finally got it working and thought I'd summarize the process real quick. I do have one small potential issue which I'll save for the end of the post.

1. Installed dedicated server
2. Applied patch 4 (v2.0)

Still couldn't get it to create the UTWeb.ini.

3. Added -nohomedir to command line, seemed to fix everything
4. Adjusted port number and other settings in the UTWeb.ini
5. Added AdminPassword=mypassword and GamePassword=test, ex:
6. Opened the required ports in Windows Firewall and Router's NAT/Firewall

Here's the command line I use to start the dedicated server:

"C:\Program Files\UT3Server\Binaries\UT3.exe" server DM-Heatray?timelimit=20?goalscore=50?botskill=4?Admin password=mypassword -login=fakelogin -password=fakepassword -nohomedir

Now back to the one issue that remains. Running Windows Server 2003 R2 with the standard Windows Firewall and the router's NAT/Firewall and UT3 server version 2.0 build 3797 with WebAdmin 1.12. At the very end of the server window:

Log: Performing DNS lookup for
Log: FSTUNClient resolved <>
Log: FSTUNClient starting test 1...
Log: FSTUNClient starting test 2...
Log: FSTUNClient test timeout, NAT is strict.
ScriptLog: Attempting to re-register the game with the online service

Is this normal? If not, will it dramatically affect the operation of the server and how would we fix this? Hope this helps someone and thanks for any help you may provide.