How to make advanced mesh emitter particles?

I wanted to dive into particle systems I’ve seen the basic videos from unreal. I’m a bit lost and don’t quiet understand how these sort of effects are made

[video][/video]

There are animated angel wings which Im wondering how do you get animated meshes in the engines particles system.

If anyone can do some sort of break that will be helpful as I’ll use it as a guide to do my research on making effects.