How to change my character's pose so it holds a gun?

As above. I wanted to add a Mannequinn and rotate all the bones like it was a sitting man. The problem is when I save those changes just nothing happens. I mean, when I use UE4 for it e.g. for changing my Skeleton or Mesh in it’s editor mode - nothing happens when I save it. How can I set it like that and how can I rotate bones so I can fit them with a gun? I’d like my character to hold it’s weapon always up and running, jumping and so on in one pose. How to?

You might want to start with a couple of tutorials on animations. This one is pretty good. I also liked this one, it explains how to “merge” different animations and skeletons.

Given where you are on your UE4 learning journey, you might want to watch this entire series to learn the basics.