You need to user Blender and get an FBX exporter which exports smoothing, and export the model you want using that.
UDK only supports FBX, OBJ and its own PS$ model files so X models need to be converted. There's probably an easier method that what I do but that's what I've done when using UDK

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CG's best telling you what to do though, he helped me through some niggles in UDK and helped me pick up some experience too.
-SSG
Sorry all for my furious departure a while ago (well, almost 8 months xD) after deep thought I have decided to return.
I apologise to those I offended.