As Pix says, bring all textures, sounds, meshes etc into your map -- a terrific suggestion. After downloading someone's map, copying all its attached files can be a real pain for most people -- worse if its a dozen maps they are reviewing.
There are many tutorials on the Net on how to do this. Here's another. MYLEVEL, as el'Pix say is where you should import. IE: PACKAGE: mylevel (MYLevel it's not case sensitive)
GROUP: [choose a group name]
NAME: [the file name you already chose -- for texture, sound, meshes -- keep the name short as possible]
NOTE: don't save the bloody thing. Don't save anything, ONLY YOUR MAP. And, don't save to the game packages or your packages will be different from those of other people online and you'll be kicked from servers before you start.
"Mylevel" because that is a generic internal package name of your map (and everyone elses' map. So when you're loading and saving other maps to peep into them, remember that you may suddenly have lists of textures / sounds/ mesh / whatever from mylevels other maps. Better then to quit UED and reload your map, so UED doesn't get confused.
"Mylevel" textures / sounds / meshes, if you don't apply them / use them in your map after you've imported them, they will disappear -- you'll have to reimport them.
TEXTURES
Import -- when in UED and you have TEXTURES open, do as el' Pix says FILE > import > and at the bottom is SUPPORTED formats, eg .bmp .pcx etc) You can't use .jpg so convert them to a SUPPORTED format. Next, your imported pic must be a certain size. Unreal wants to run your map fast, so it dictates fixed sizes of textures. It will NOT take 253x522 or 23x19 -- it will NOT import odd texture sizes.
Here are some of the texture sizes it will import: 64x128; 64x64;128x256;128x128;256x512;512x512.
Don't get too large with textures. There are tuts which will explain why the sizes I've quoted are the most useful.
(The pics I used in Gothic for water reflections were 256x256, 16bit. All the texture imports I used were of the above list of quote sizes (64x128; 128x128 etc) and also NOTE:
only 256colours MAX. for your UED import. (Before that making the texture or whatever, use hires)
(And, texture sizes and number of colors are two different things IE 128x256 is a texture size you'll see in UED. Then at the bottom it may have P8 or DXT1, DXT3 etc) which are about the colour type or compression.
My main colour drawing program is old (we also have adobe but I can't be bothered learning the fecker -- the olde prog is quick n easy), but it can do 'new' choose size. So for new I choose UED sizes: 64x128; 128x128 etc.
As I said, I work in True Color first. And CONVERT to Indexed 256 color (8bit) for use in UED
My old colour draw program can't resize properly so first off I often use Adobe to change a photo to an UED compatible size, eg: 64x128 etc. and then I'll work on the texture -- in true colour of course. Do what you like until you 'import the texture' which must be a size (64x128, etc) that UED will use.
So for textures, forget about using "True Colour" imports to UED Think lowres. The game Unreal with its shadows and stuff will make your textures look pretty for you.
SOUND
As with 'low quality textures,' think 'low end sound.'
Importing sound is much like importing textures, (option the sound viewer > import, but supported format is .wav Again like textures, Unreal is choosy because it wants to streamline your map -- make it fast to play. WAV pcm are what you should use.
Look at the sounds already in 'sound' in UED and you'll see most are: 1 16 22050. I try for 1 16 11025. NO STEREO.
Not all sounds compress to 11025, so use 22050 then.
Use a "sound converter" there are several available which will convert your sound to .wav pcm. There's trimming too, to minimize your sounds and there are programs for that as well, some "open source."
If you try importing fancy quality with sound, UED won't have it. But as with textures, working with hires true color and fancy quality sounds before importing them is ok. It's like UED has certain sized slots. Before you import anything into 'mylevel' you need to make it the right size for the slots.
STATIC MESHES
Similar to importing TEXTURES and SOUNDS you import static meshes. Open the Static Mesh browser and do FILE > IMPORT at the bottom it will show SUPPORTED FORMATS (the right sized slots): [*.ase *.lwo] I just discovered that Maya (cut down) comes with Unreal2004 -- but darn it, I've been learning Blender...
Up to now I've been using UEDs internal static mesh maker, but even the Unreal people don't recommend UEDs staticmesh maker because it makes clunky meshes. Kindly they put Maya on the Unreal2004 CD (folder, 'disk 6' on my DVD) and there are tutorials on how to use Maya and prepare its static meshes for import into UED.
So it all gets very complicated, but if I, a tired impatient old fecker can do it, so can you and even better than I can.
Thanks Pix for raising the question of "mylevel" importing which is a bugbear for many people. MUSIC I haven't done because I've never imported any. Maybe someone else can be helpful with that.
I quoted a lot of help references in KF-GothicV2 readme which have this information. UDN and UnrealWiki are my main sources of reference.