You should create a new C++ class that inherits from UUserWidget. Then, in UE, you create a new widget blueprint that inherits from your C++ class.
If you want to access elements from your widget blueprint in you C++ class, you should declare a property in you class and mark with with the BindWidget meta property specifier. The name of the property and the name of the element in your widget blueprint must match. (You’ll get a warning otherwise anyway.)
Hopefully this should get your started. Cheers!