Scaleform is not officially supported by the engine, but an integration is provided by Autodesk itself and some help fromthe community:
- Create a plugin: Does Scaleform have a plugin that easily integrates to 4.2? - Programming & Scripting - Unreal Engine Forums
- Official Integration from Autodesk: http://gameware.autodesk.com/scaleform/unreal
An alternative would be using UMG: