I daresay the footprints in that screenshot are not dynamic.
In any case, in order to create that effect you would need a decal to use. Since those footprints appear to be deep in the snow then I would want to have a normal map (or, if the engine supports it, a tessellation map) on the decal that would give the impression of the foot going into the the snow. I'd make the colour of that decal just the dirt colour, with the normal map overlapping the alpha part of the image - allowing the normal map to deform the snow material.
You would then need a way to spawn the decal - I assume the engine already has a function for spawning decals at a given location. So you would get the location of the character and spawn your decal underneath it every n meters as they move. Given that strides are longer when running as opposed to walking, your distance threshold is going to need to be a function of actor speed.
Then you'll need to make sure the footsteps despawn after a while as they will add up quite quickly and cause some serious slowdown because the engine will need to keep rendering them all.
Needless to say, you would need to be pretty comfortable with programming to get this working, but it's by no means a super advanced task, I would say it's a good challenge for a novice modder. Good luck!