So I'm trying to learn how to create my own materials, I'm following along with the 3d buzz video tutorials (http://www.udkx.net/downloads/index.php?act=view&id=1301 ). My problem is he is using two different textures (one for diffuse which is the texture itself, then one for normal which contains the bump information).
So my question is basically how do I create bump maps when all I have is an imported texture for a material?

If the tutorial did not include the example files used, then you will need to create the normal map yourself. There are several ways of doing this depending on what software you have available and how much time and effort you are willing to spend. The easy solution is a little program called "CrazyBump" that generates a normal map based on your texture image. It's very simple to use and generates fairly good normal maps in a matter of seconds. There is also an NVIDIA plugin for Photoshop that adds a normal map filter - I have not tried it so I can't vouch for the results, but it probably generates normal maps similar to CrazyBump. Another option is to go back and model a high poly version of the mesh, then bake the normals from the high poly model to a normal map that can be applied to the low poly version. How you do this depends on which software you are using - you'll probably want to look up specific tutorials for your modeling program of choice. This is probably easier if you have something like Zbrush to create really fine details. Obviously, this requires more skill and patience than just generating something from your existing texture, but the benefit is that you have more control over the detail.