Right-click in your Content Browser (or click on Add New) and select User Interface | Widget Blueprint, as shown in the following screenshot. This will add an editable widget blueprint to your project:
Double-click on your Widget Blueprint to edit it.
Add a button to the interface by dragging it from the palette on the left:
Scroll down the Details panel for your button until you find the Events subsection.
Click on the + icon beside any event that you'd like to handle:
Connect the event that appears in Blueprints to ...
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