I tried posting in UDK's forums but didn't get a response and I'm looking here for an answer of sorts. I didn't put the models together, animate them, rig them at all. Since I have an account already with Polycount, I offered to post about an issue with a rigged pistol and hands its supposed to be attached to when in UDK. For some reason, they are separated but still perform the animations that were created. In 3ds Max, they are fine. I uploaded it myself, and everything is where it's supposed to be.
I will do my best to answer any questions that I know the answers to if you need more information. Otherwise, I will ask my guys that have yet to figure it out. It appears to be simple but I don't have a clue at the moment what's causing this.
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I am assuming you have an Aminset since there is an animation on the skelmesh. Open the Animset and click on the the AnimSet tab in the bottom left corner of the screen (Right next to the Mesh and AnimSequence tabs). Uncheck "Anim Rotation Only". UDK will not read translation information on animations by default. Did this help?
I've attached a link to a video he gave me. I don't understand what's going on in it but it appears "off" in some way.
http://s43.photobucket.com/user/AceAlmighty82/media/Arms-1.mp4.html