The process for setting up a Shotgun project to work with Unreal Engine 4 is similar to the process for other applications in your content pipeline, such as Autodesk Maya or 3ds Max, or the Foundry's Nuke. You'll configure your Shotgun project to use a toolkit engine: a collection of tools and scripts that are designed to make your Shotgun project aware of Unreal Engine, and that integrate Shotgun tools and workflows into the Unreal Editor interface.
The configuration outlined on this page only has to be done once for each Shotgun project that you want to use with Unreal Engine. It is typically done by a Shotgun administrator. If you've already set up Shotgun projects and configured them to integrate with other content creation tools, this process should be familiar to you. If not, see the following resources: