There a couple of examples from the Marketplace that have really good examples to show you how this can be achieved.
In the Mobile Temple you can find the mesh named “SM_GodRay” with the material “M_Godray.”
In the Blueprints Office you’ll find a much more robust one that is using Blueprints to setup a GodRay. The method is still similar with the basis behind it being a static mesh and a texture material. The mesh is named “SM_GodRay_Plane” (it’s a single polygon plane), Material is named “M_Godray_MASTER”, and the Blueprint that sets it all up is “BP_LightBeam.”
As for the particles of dust you would want to use Cascade to make a particle effect for that.
In the Reflections Subway there is a good example of this. The particle system is named “PGPU_Dust_Vec_Large”
Hopefully these will point you in the right direction with some solid examples of how to achieve what you’re looking for.