I meant to make a sticky thread about that after the patch, but never got around to it. This is partly because there is still a 30-second timeout issue when using HTTP redirects.
In short, you just need to upload your files to a web server, all in the same directory (no folders). In the following example, the address "http://example.com/renx/downloads/" is used (aka: CHANGE THIS).
After uploading your files to a webserver, in UDKEngine.ini:
1) Check if a section named [ipDrv.HTTPDownload] exists.
2a) If this does not exist: Add the following block to the ini file
2b) Modify the settings to reflect the following
3) You *might* need to set "MaxDownloadSize" to "0" (i.e: "MaxDownloadSize = 0") in the same file, in the [ipDrv.TcpNetDriver] section.
UDK is peculiar about file case-sensitivity, so you may have to set some file names to all lower-case (though some must not be all lower-case).
If you want to get adventurous, check out the link below for full details about redirection, as well as compression. I haven't covered compression at all, so if you're wanting the absolute smallest downloads, check it out.
http://wiki.unrealadmin.org/Redirection_and_Compression
Edit: Also, it occurred to me that since this thread is genuinely useful for modders (causing it to grow to 10 pages and nearly 7000 views) and timeless, so I stickied it.