For this tutorial I have used:
Dafont.com

To install the downloaded font, open control panel/fonts then in the window select file > install new font.

In the UT3 editor open up the generic browser. View > Browser Windows > Generic
In the top left hand side there’s a list box, make sure only Font is selected, you may have to scroll through it to make sure nothing else is checked.

Right click on the grey area to the right and select New Font Imported From Truetype
A window has popped up, this is where we’ll select all our options for importing our new font. The package, group, and name are settings we’ll use for organizing our imported font. For this tutorial I've created a new package called “CustomFonts”. Inside the package you can create a sub folder(group) I didn't create one here. The font name I've used is UnrealFont.
Underneath you can see the images.

Under Options there are multiple selectable options. The options bEnableBold, bEnableItalic, bEnableUnderline will not allow you to have the option of bolding, italicizing, or underlining your text whenever you want to but rather import it with that kind of appearance. You would have to do multiple imports to get bold/italics/underline. For our text let’s select bEnableDropShadow, you can hover over the item and see that it says elegantly, ”Enables a very simple, 1-pixel black-colored drop shadow for the generated font”.

There are tons of options available. You can check them randomly to find out what they do.
Select the button "ChooseFont", and find your font.

Select the downloaded font, and slect it by clicking OK.

You can preview the font.

The created font can be used in many ways inside UT3. For example, in the tutorials on this site we've used fonts for creating game-menu's and storytelling elements.