Heu man! I'm also new to UDK and had a somewhat similar problem.
First off, all your outside files (.tga, .fbx, etc.) create them in your own personal folders. Don't make them in the UDK folders.
In UDK, create your own package (aka folder) in "TestPackages". When you import your textures/models in UDK, just click and drag from windows explorer to your package in UDK. It will bring a popup asking you what name it should have and in what subpackage you want it (textures, static mesh, materials, etc.).
Hope this helps you.