Most pickups, such as the health vial, just require you to place them in the world and you're good to go. But for weapon pickups and weapon lockers, you need to specify what kind of weapons will be available.
Place an UTWeaponPickupFactory in your level in the same way you placed the health vial. Make sure that the object is selected in the world, then click on View | Actor Properties or double-click on the object, or press F4.
Every object, even static meshes and brushes, have properties that you can set. There are lots of categories in the properties window, and most of those categories, such as Display, Movement, and Object are used by every type of actor. In most cases, you only care about the properties for the specific type of actor you're working on. In this case, we want to set the weapon pickup factory properties, so click on the UTWeaponPickupFactory category. It may already be open.
You can now pick what type of weapon you want by clicking on the...