OP, this thread is full of people saying "No" but no explanation of why, so here's why:
Firstly, let me say you need to learn to crawl before you can walk, let alone run.
If you understood Blender UE4, game engines in general, 3d software conventions in general, you'd understand why wanting to use that particular tutor4u model is a bad idea (basically you could do it, but it would take more work than you know how to do right now).
First of all, the hair isn't a Mesh (aka a model, aka a collection of coordinates in space forming a series of triangles) though you can Convert to Mesh in Blender but if you did that you'd get a tremendously high poly model.
In Blender a Material is a kind of description for how to programmatically or procedural or dynamically color something and how light should interact with it.
It's basically a Shader though there's some technical different that some sperg might get upset about, but the point is you can't just take a Material in Blender and put it in UE4 because it's software specific.
HOWEVER, Textures are not, textures have all the information (and I don't just mean the color information, there's also height maps, normal maps, specular maps, and so on) that can be Baked from your model, and this will give you something that will look right (more or less) between different software.
Keeping doing tutorials, do one specifically for importing a model into UE4, then come back to this in a year and see if you can come up with a clever way to approximate the fuzzy teddy bear in UE4 using a decimated / low poly model with details baked from the high poly, and various texture maps to approximate the bumps and glossy fur