I want my character to drop a pickup when it dies

You could easily create a function that checks player health every time damage is taken and within that function if the health is ever < 0 do as the above answer/comment state and spawn an actor (the pick up) before destroying the player. If you need help creating functions check out video #6 in this tutorial series. It also has a bunch of other videos that may be useful to you if you are fairly new to the engine.