Building Unreal from source code
Note
You absolutely do not need to download source code and build the engine from scratch for almost anything you'll realistically be doing with it. This section is included here so that you have the freedom to make engine changes if you ever need to, but you can safely skip this. It's rare even for professional developers to work from the bleeding edge source.
This next section is even more optional than the previous. You'll only ever need to do this if you intend to modify the behavior of the engine itself, or if you want to work with a feature that's so new that it hasn't yet been bundled into one of the releases. That's another part of the beauty of this engine though—if you really need it to do something it doesn't already do, you can make the changes yourself. Also, if you make changes that improve the engine or might be useful to other developers, you can use GitHub to contribute your changes to Epic. Lots of developers do, and the net effect of it is...