To start off I worked out from the other buildings that I was going to need a texture along this lines, so I spent some time creating this texture making it tile and griming it up.
I then applied it to a square plane with 16 rows and columns because I had made all the lines of the texture line up to a grid of the same amount of rows and columns in Photoshop.
Then detaching the faces I wanted and deleting the excess triangles.
A little extrude from the border gave some depth to the asset and then I reset the pivot point.
Above you can see a selection of the different sections to the building and below you can see the parts that I imported into UDK.
Below is a screen shot of the assembled building with place holders for the floor and walls. I am going to make windows and a piece to cover the corners tomorrow.
Here the pillars look far too clean and so I wanted to apply some dirt as if they had been around for a while but this wouldn't have built up around the top of the pillar so I had to tackle that challenge. I ended up unwrapping the pillar on the 3rd UV channel to give me a completely different unwrap to the one I initially had. This meant that I could make a grime texture which would make its way up the pillars rather than be applied uniformly. So far I have only done this for the main pillars at the front which are both the same mesh however I will do this for the side pillars tomorrow. Below is the result of a couple of hours of tweaking, googling, getting confused and finally understanding.