Before starting this tutorial, I assume you have some basic knowledge of Unreal Developers Kit, Kismet, and Matinee. If you have little to no experience with this, I suggest you visit The UDK official tutorials, some basic UDK tutorials or the Hourences tutorials for a very basic introduction to UDK and the areas I will cover.
First, you will have to open the Content Browser and select the Actor Classes tab. Under "Lights" you will find the Spotlight < SpotLightToggleable. It is also possible to do this with any other type of light, but I chose to use spot lights for the purpose of my level.
With this light selected, go into Kismet and right click. select New Event > Level Loaded. you can also use a level startup node for this, but again for the purposes of my level I chose a Level Loaded node. Right click again and select New Matinee.
Double click matinee in order to open up the UnrealMatinee Editor. With your toggleable light still selected, Right click to create a new Director or Empty group, either works. Right clikc to add a new track, and add a New FLoat Property Track. a float property track allows you to modify a property of an object or light in your level that is going to change throughout play. This also tells the object to check here for input for that property. Once you create this new track it will prompt you for which property you wish to change. select brightness.
In order to actually "animate" the light turning on and off, you will need to key the frames for both extremes (on, and off) and matinee will create a default gradient in between. You can change this later if you feel the need, but it is not covered in this tutorial.
With the UnrealMatinee Editor open, open the lights properties (hit F4 while in the view window), and under Light > Light Component > Light Component, you will see the property for brightness. Set the brightness to the level you wish it to be in the beginning of your "animation," go back over to matinee and, with the track selected, hit enter to key the frame. continue this process for the rest of the animation.
Once this is all done, you should have a pretty pulsing light.
good luck, have fun!