UE3 - UDK pop up message and options

I have had great success generating a level with lots of interesting interactive switches, lights, and ai spawns. But what I can not figure out is how to create/adjust the user interface. All things that I can find say you need to create and such things in flash then import them. My question is there a way to get pop messages or options for a player? For instance, a player comes across a strange object, option 1: kick it, option 2: examine closely. or even splash page where users can set difficulty or choose from single or multi-player. I find it hard to believe unreal would not have this ability programed in.

also if any one has any good book recommendations about unreal I would love to read them

I do not get pop up when I hit escape it usually just goes back to the editor with out any prompts. Do I have to do a full compile to get this?