Preamble: I will probably restate some things you already know, but I'm trying to be more or less complete. Note that I have nFringe, but have not tried creating a 'project' as you described; I make script files and stuff manually.
First, see http://udn.epicgames.com/Three/Weapo...icalGuide.html for some information on what happens behind-the-scenes with weapons, and where stuff goes in the code and how it is called.
The three example weapons supplied in the UDK are good for learning, and at the same time not, because they all include fancy new things that change how the weapon works. The rocket launcher has a fairly complex alternate-fire mode, the link gun is capable of latching onto friendly teammates and vehicles, and the shock rifle introduces an effect when you shoot a shock ball with a beam. For purposes of learning and messing around with weapons in general, I would recommend modifying the shock rifle.
The thing about the UDK is that, different from UT3, it does not have automatic localization and configuration files created when you make a new gametype, weapon, or mutator, so you have to create them manually. Without these files, the game lacks the information used to display stuff to the user, such as a mutator or weapon name, along with some other stuff that integrates it with the Unreal system.
For an example mod MyMod, create a weapon UTWeap_UberRifle that extends UTWeap_ShockRifle, and in defaultproperties set FireInterval(0)=0.1. Save that as a .uc in the MyMod\Classes folder and compile.
Then, in [UDK]\UTGame\Localization\INT\ create a file MyMod.int, and inside put the following:
The first section gives the game information that the weapon itself uses (namely, what to display when the player equips or picks up a weapon, respectively). The second section gives the game itself information on the weapon, so for example configurable mutators that let you select weapons (UTMutator_WeaponReplacement) will know the data on the weapon so it knows what to call it. This information can vary from language to language, so it is kept in a localization file (INT corresponds to International; English).
Description="And a partridge in a pear tree."
Then in [UDK]\UTGame\Configuration\ create MyMod.ini, and put the following in it:
This is some of the stuff that helps integrate the weapon with the system. I'm not positive on exactly what these lines in particular do or why they're there, but it's necessary, and it doesn't vary with language, so it is kept in the configuration file.
With these three files, you should have a completed weapon. For quick testing, I recommend opening up the UDK Game and starting up a Deathmatch game with the Weapon Replacement mutator enabled and configured to replace everything (or just shock rifles) with our Uber Rifle. You could also make a level in the UDK Editor with a pickup base (if you know how to do that) in it that spawns your weapon.
A note: unlike UT2004, in UT3 and the UDK weapons do not have their own pickup classes; one pickup class handles all of them. For a complete weapon, you generally would only need three files: one for the weapon, one for its ammo, one for its attachment (handles what the weapon looks like in the third-person view of the character. Using those is beyond the scope of this guide.
Hm... Well, for not knowing much about all this, I seem to know a good deal about it. Please do make a tutorial on this and post it somewhere nice.
To figure out what to do with the INI and INT files, I looked at UTGame.ini and UTGame.int and did a search for "Shock Rifle" and copied the format over to my own files. If you like, you can do the same thing with mutators to find out how those can be added to the UDK (it is a similar process to that of weapons, just different information put into the INI and INT files).