I created various different maps for each of the modular assets withing my game. These included opacity, diffuse, specular and normal maps. I did however encounter a lot of problems with the opacity map on my windows. This was due to the opacity happening all over my assets and an error in my original max file that made all the assets act really strangely, I fixed this by re-doing all my modular assets ove rthe course of one day.
This is how i have set up my UDK material, showing each of the maps. The opacity map is in the alpha channel of the diffuse texture.