Only the professional version of Unreal Engine (not the free UDK) allows you to use C++, AFAIK.
Most people don't know this but you can use C++ libraries with UDK by using the "DLLBind" feature:
In fact one clever guy figured out how to trick DLLBind into calling into C# libraries yet this is not officially supported.
Wait for UDK 4 for and we will only have kismet and C++ code they have gotten rid of UnrealScript , also dynamic C++ compiling on the fly. See last 2 minutes of video.