The Asset Manager is your gateway to creating just about anything in UED and is split into 9 different tabs which gives you quick access to all the different resources available.
Textures are your paint in UED. With these you can colour in your walls/floors/ceilings in any material available within the textures list.
Actors are one of the most important parts of any Unreal game. An actor is a premade script in a modular form.
Actors range from Triggers to Item Pickups - just click where you want to add an item.
Meshes are not used in Killing Floor.
Animations can be viewed/played back on this tab. Not sure what program is used to make the animations.
A static mesh (or SM) is a complex object such as a weapon/car/door/bed etc., things that fill up your world. A Static Mesh can either be left as a decoration or used as a moving door/vehicle and can be a fully usable weapon.
Static Meshes are made outside of UED using programs such as 3dsMAX and Maya. UED can be used to make basic SM's but when they get a bit too complicated UED tends to just crash so you need to save often if making it without an external program.
Prefabs are not used in Killing Floor.
The Sounds tab is where you can browse through to find all the game sounds that are available you; anything from Ambience (wind/waves/animals etc.) to Event Sounds (explosions/glass smashing/wood breaking).
The Music tab is not needed for Killing Floor since it makes use of OGG Vorbis files which are not compatible with the Unreal Editor.