Import a URDF file into UE4 by drag & drop into the content browser. A new asset is created with the URDF information. Before dragging the asset into the game world, certain properties can be edited using a new visual interface found in the Editor Mode window.
As an optional feature, this project can be run with the UROSBridge plugin to control the imported robot from a ROS server through web sockets.
The URDF can be placed inside a folder called XML which should be in the same directory as the Unreal Engine Project File.
Note that if the URDF uses meshes, it likely keeps them in one or more folders.
Make sure that for each robot within the XML folder, the file system reflects the structure that the URDF expects.
For example, for the pr2, it expects to find the wheel mesh here: "pr2_description/meshes/base_v0/wheel.dae". So in the same directory as the pr2.urdf, there should be a folder called pr2_description which contains the subsequent folders and file.
Developed on UE4 version 4.16, tested on 4.17
Be sure to check the Wiki page for more details.