UDK isn't really a Thing any more; it is no longer being updated.
Instead if you are interested in getting hold of the Unreal Engine to use then you should be looking at UE4 at http://www.unrealengine.com.
Thanks, noticed that UE4 it's only paid for and rather give Unity a go and take it from there, do you know about C# compilers?
I see there's only MS Visual Studio Express (not sure how limiting this version is) and Mono which i know nothing about, seems interesting because it runs on other platforms as well, which one should i pick?
Be aware that while UE4 has no "free" version at the moment, their sub is not only quite lowcost (20$), but you can also get the full engine for the cost of 20$, with source, and never pay again (if you don't need updates that is).
Yes, Unity free is cheaper, and with your goals, you probably will never need the advanced features of the Pro version (or what UE4 already includes in the 20$)... just pointing out that "free" and 20$ aren't worlds apart.
Having said that, AFAIK community of Unity is still bigger, and the asset store and documentation is really mature. No idea if UE4 has caught up yet in these things, but you can do much worse than pick Unity as your first engine (alrough what earlier posters have written about going with an engine vs going from scratch still applies).
If you pick Unity, you have the option of installing it together with MonoDevelop, which comes bundled with the Unity engine. Not saying it is the best IDE ever, or that it can beat Visual Studio... Still, I am using MonoDevelop since starting with Unity, and actually cannot complain too much. Had to use so many different IDEs at work, and actually preferring simple Editors over IDEs most of the time, I take the simplicity of getting it installed together with the engine over nice features I will probably not use.
Of course, if you prefer a good IDE, Visual Studio will most probably beat MonoDevelop.