http://udn.epicgames.com/Three/CreatingLevels.html

Tried that tutorial and... it works... wohoo

But one question... is it possible to just import meshes from other softwares (such as Maya, Max, Blender or wings), import it to UDK and treat em just like levels?

Since the modeling tool seems pretty much hell in UDK.

Or imported models would've just treated as "Static Meshes", or it won't be just much different than building the actual level in UDK, since the engine will treat the whole level as static meshes anyway?

Cheers.