That's pretty generic. Do you mean modeling, rigging, coding, etc?
Modeling
Look up a Maya tutorial or something. If you have SE then the VTMs really help.
Rigging
(see above)
Coding
Well for coding, open up UnrealEd and open up the script editor (you can do this by opening the actor browser and double-clicking on an actor), and click on decompile-all. That will decompile all the files of UT2004 into readable .uc files in your UT2004 folder. You should be able to tell which folders are the code files because they've just been added. Stick these in a reference folder or something, 'cause you'll only be using these files as reference on how to do things (i.e. if you want a Helicopter, you look at the Raptors code and model it closely). Copy --> Paste is your friend. I learned the rest through experimentation.
You can also look up some tutorials. Good sites are:
UnrealWiki
3dBuzz.com
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