Thanks Mindfane!
This is a push in the right direction.
I had not done any C++ work in UE4 in the past. So for anyone reading this thread that is in my same shoes. The video below was helpful and the free version of Visual Studio is below that.
I tried creating the C++ class as directed, but I got the following error:
1> Creating library C:\Users\Jack\Documents\Unreal Projects\Princess_Castle\Intermediate\Build\Win64\FPS_StartEditor\Development\UE4Editor-FPS_Start-5958.lib and object C:\Users\Jack\Documents\Unreal Projects\Princess_Castle\Intermediate\Build\Win64\FPS_StartEditor\Development\UE4Editor-FPS_Start-5958.exp
1>FPS_Start.generated.cpp.obj : error LNK2019: unresolved external symbol "public: __cdecl UCheckIfFileExhists::UCheckIfFileExhists(class FObjectInitializer const &)" (??0UCheckIfFileExhists@@QEAA@AEBVFObjectInitializer@@@Z) referenced in function "void __cdecl InternalConstructor<class UCheckIfFileExhists>(class FObjectInitializer const &)" (??$InternalConstructor@VUCheckIfFileExhists@@@@YAXAEBVFObjectInitializer@@@Z)
1>FPS_Start.generated.cpp.obj : error LNK2019: unresolved external symbol "public: static bool __cdecl UCheckIfFileExhists::MyFileExists(class FString const &)" (?MyFileExists@UCheckIfFileExhists@@SA_NAEBVFString@@@Z) referenced in function "public: void __cdecl UCheckIfFileExhists::execMyFileExists(struct FFrame &,void * const)" (?execMyFileExists@UCheckIfFileExhists@@QEAAXAEAUFFrame@@QEAX@Z)
1>C:\Users\Jack\Documents\Unreal Projects\Princess_Castle\Binaries\Win64\UE4Editor-FPS_Start-5958.dll : fatal error LNK1120: 2 unresolved externals