Now we want to export this animation, this is done using the “dumpmovie” argument. Exit out of the UDK and save your map. Now, on your desktop create a new shortcut and browse to your UDK directory.

Find your UDK.exe (For the April release of the UDK it is in: “C:\udk\UDK-2010-04\Binaries\UDK.exe” by default). Now we need to add some arguments to the command. We need to specify 3 things. Firstly the map we want to load, then we want to use the “-benchmark” tag which tells the UDK to limit the framerate to 30fps and finally the “-dumpmovie” command which tells the UDK to take a screenshot everyframe and save it out. Your shortcut should look like this:

“C:\udk\UDK-2010-04\Binaries\UDK.exe” MyMapName -benchmark -dumpmovie
Now run the shortcut and the UDK will begin to dump each frame to a screenshot, this can take a while depending on how long your animation is so have a cup of coffee or a short break. But be awake that even after the cinematic has completed the UDK will continue to dump the frames so to stop it just close the program. Now if you browse to your screenshots directory (Default in April build “C:\udk\UDK-2010-04\UDKGame\ScreenShots”) it will have quite a few .bmp files. Here’s your animation as an image sequence ready to be loaded into premiere. Note, however, that Premiere will have problems loading the .bmp sequence and will run rather slowly, to fix this open Photoshop and go to file->scripts->Image Processor.

Select your screenshots folder for the source directory and another directory to save the Jpegs. Now click the “Save as JPEG” checkbox and finally click Run. This will take a while so, again, go make a cup of coffee or something.
Now the images are in a form which can be loaded up in Premiere for editing. Have Fun!
REFERENCED FROM: http://maiev.net/wordpress/?p=374
Thanks to Marcus White