I'm new working with UDK and i don't know how to connect two different levels that i create!
Can someone also tell me how to add a cutscene between them?
I am new to UDK as well, but as far as I know, loading another map involves using console commands such as "open dm-map." You may be able to use UDK's Kismet to program the console command to trigger on whatever event you wish. The GUI features in Kismet also allow you to load Flash movies. Try researching UDK Kismet.
Yes it's basically a console command action in Kismet. Place a trigger in the map and a linked trigger touch action in kismet and link it to a console command with the target as your player. Go into your console commands properties->commands and for sub index zero fill that field in with the map you want to load or example 'Open DM_Deck'.
This is actually the worst way to do a level change. In the industry this is know as a hard level load and even the UDK developers say that use of the console command is not advised for level changing. This also depends on how professional you are. If you are just playing around with the editor then by all means use the console command but if you making a high quality commercial game then don't use it. The best way is level streaming. With a hard level load, your health, ammo and weapons are set back to default and don't carry over. With level streaming, different maps are loaded and unloaded in the same gamespace and everything stays the same. You can find multiple tutorials in a Google Search or on YouTube on how to do this.