To use the External Material Libraries you have to do the following:
Fancy Bullets
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Create a material in an application that uses V-Ray as a render engine (e.g. 3ds Max, Maya);
Export the material to a .vrscene file;
Open the generated vrscene with a text editor (e.g. Notepad);
Locate your material. (e.g. MtlSingleBRDF NAMEOFMATERIAL);
Make sure you have a scene_name= parameter in the MtlSingleBRDF properties with the material's name;
Download vraysettings.jsonfile and place it in the Content folder of the V-Ray for Unreal plugin. (The default is C:\Program Files\Epic Games\VersionNumber\Plugins\VRayForUnreal\Content);
Open the the .json file and delete the # symbol to enable the EML functionalitythe in the line "#mtl_libraries" : ["Content/mtl_library/mtl_library.vrscene"];
Replace Content/mtl_library/mtl_library.vrscene with the path of your vrscene with the material(s) you wish to use at render time;
In Unreal, create a V-Ray Material Instance and name it as the material in the vrscene.