You need to copy the Wwise SDK and the relevant files to UE4/Engine/Source/ThirdParty/Audiokinetic. Simply copy the following folders:
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Source:
c:\Program Files (x86)\Audiokinetic\Wwise v2014.1 build 5158\SDK\include\*.*
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Destination:
UE4/Engine/Source/ThirdParty/Audiokinetic/include
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Source:
c:\Program Files (x86)\Audiokinetic\Wwise v2014.1 build 5158\SDK\samples\SoundEngine\*.*
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Destination:
UE4/Engine/Source/ThirdParty/Audiokinetic/samples/SoundEngine
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Source:
c:\Program Files (x86)\Audiokinetic\Wwise v2014.1 build 5158\SDK\Win32_vc120\*.*
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Destination:
UE4/Engine/Source/ThirdParty/Audiokinetic/Win32_vc120
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Source:
c:\Program Files (x86)\Audiokinetic\Wwise v2014.1 build 5158\SDK\x64_vc120\*.*
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Destination:
UE4/Engine/Source/ThirdParty/Audiokinetic/x64_vc120
This is documented in Wwise_UE4_Integration.chm, at the "Installation" page. If you are having trouble reading this file, make sure the file is "unblocked" by right-cliking on it, selecting "Properties...", and clicking "Unblock".