The Documentation from Epic Games is pretty well done

It is mostly drag and drop but should something not work you should check if the file is correct for Example .blend or .mp3 will not work you need to export to FBX

Mesh:

https://docs.unrealengine.com/latest/INT/Engine/Content/Types/StaticMeshes/HowTo/Importing/

Collision if you are using FBX

https://docs.unrealengine.com/latest/INT/Engine/Content/FBX/StaticMeshes/

TIP: Scale your meshes consistently so you don't have to scale too much in engine