Which app are you using? Max or Maya? You need to use actorX and export a .PSK file for the skeletalmesh (Which needs at least one bone named root_weapon) and a .PSA for the animations, which needs at least 6 animations associated with it for the 1p view to work properly. You will also need two sockets named MF and MuzzleFlashSocket. Go to the content browser and check the animset for any of the included weapons to see the naming convention of the animations and names of the sockets as it must be exact to avoid having to alter the code.
Geodav is being too polite, watch his tuts to see the export and import process. It doesn't matter if you're using a different application, ActorX works similarly between apps and the basic method is the same. He walks you through it.