If you want to start creating a level from scratch, simply click on File and navigate to New Level..., as shown here:
You can then select between Default and Empty Level. I think selecting Empty Level is a good idea, for the reasons that are mentioned later.
The new level will be completely black in color to start with. Try dragging and dropping some objects from the Content Browser tab again.
This time, I added a resized shapes / box for the ground plane and textured it with moss, a couple of Props / SM_Rocks, Particles / P_Fire, and most importantly, a light source.
Be sure to save your map. Here's a snapshot of my map (how does yours look?):
If you want to change the default level that opens when you launch the editor, go to Project Settings | Maps & Modes; then you will see a Game Default Map and Editor Startup Map setting, as shown in the following screenshot:
Note that if your scene appears completely black, it is possible that you forgot to put a light source into it.
In the previous scene, the P_Fire particle emitter acts as a light source, but it only emits a small amount of light. To make sure that everything appears well-lit in your scene, you should add a light source, as follows:
If you don't have a light source, your scene will appear completely black.
You might have noticed that, so far, the camera just passes through all the scene geometry, even in play mode. That's not good. Let's make it such that the player can't just walk through the rocks in our scene.
There are a few different types of collision volumes. Generally, perfect mesh-mesh collisions are way too expensive to do at runtime. Instead, we use an approximation (a bounding volume) to guess the collision volume.
The first thing we have to do is associate a collision volume with each of the rocks in the scene.
We can do this from the UE4 editor as follows:
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