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Get a Github account
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Install Visual Studio Express ( I think it needs to be 2013 to build UE4.9 )
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Download or clone the latest waveworks build ( 4.9.2 is the latest one someone has made it for )
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Switch to the correct git branch
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Run setup.bat
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Run generateprojectfiles.bat
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Double click UE4.sln
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Build UE4
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Build the shader compiler thing
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You should be able to launch the engine now from the build/ folder (it will get stuck at 45% for ages)
This is the forum thread on gameworks which includes waveworks so its helpful to go through https://forums.unrealengine.com/showthread.php?53735-NVIDIA-GameWorks-Integration