To get started with building Unreal-Worlds you can either use the book or the training videos from 3DBuzz http://www.3dBuzz.com . The book has the advantage of providing some easier-to-follow step-by-step instructions - but the videos include additional topics (e.g. scripting). You can download the training videos for free, or you get a copy with the DVD version of UT2004, or see me to burn a copy of mine - free distribution of this material is allowed.
The Runtime http://udn.epicgames.com/Two/UnrealEngine2Runtime has some technical limitations. While you can modify levels (using Unreal Edit) and do scripting, you don't get C++/API level access to the underlying engine. Still, you can do an amazing amount of stuff without C++/API level access. If you want/need that level of access then $$$ is involved. However, my previous discussions with Epic led me to understand that this could be obtained by purchasing a developer license for the tools (priced comparable to a Rational Suite or similar high-end tool) but that distribution (for educational/non-commercial) would still be free (no per-seat runtime charge).
Once you download the Runtime the other limitation you will notice (relative) to the retail product is the amount of raw material (textures, 3D shapes, etc.) provided - there is TONS in the retail product but almost none for the Runtime. For this reason, if your potential audience is small but the quality of the product desired is high - an alternative route is to buy enough copies of the game (10, 50, 100, etc.) and distribute your prototype/proof-of-concept/demo/etc. as a mod to the game. This jumpstarts you with all kinds of assets but naturally the cost factor depends upon your audience size, ability to install the retail product, consequences of being too closely associated with a "game", etc.
Only the basic examples in the videos or book can be done with the Runtime as-is - just because they rely upon textures, etc. that are already built in the UT2004 product but you have to build yourself in Runtime. So, to learn how to use the tool, better to start with a retail copy of UT2004.
I can show a person how to build a simple world in about 15 minutes. Takes a few hours to figure out the basic concepts (lighting, shapes, etc.). Probably 40-80 hours of practice/training to get into most of the cool stuff.