Setting Up VCPlusPlus
Look at the only native coding tutorial, ever: http://www.esconline.org/Resources/native.html
Or, follow these instructions:
I experimented with Deus Ex(based on Unreal), but the things said here also apply to Unreal with as good as no modifications.
For an example check out my SQL binding for Deus Ex. MOST of the stuff applies to unreal in general. http://deusex.hcesperer.org/tools/sql.php As a proof that it actually works, the DLL is included;) Note that in order to compile the package, you need the SQLITE libraries and headers.