Generally creating particles is something very specific to each game. Most will have their own completely proprietary systems that will either have an editor, or require you to write scripts/code(yuck). The basics of particles tend to come down to 2 types, using a sprite, or multiple variations of a sprite with specified…
3dsmax has a great setup for doing particles. UE3 mimics it pretty well but has to fall short because its real time. I'd say if you can demonstrate a good command of 3dsmax's particle system/particle view you'd have no problem translating that to UE3 or any other particle system. But thats just a tiny part of being an FX…