There has been much discussion on these boards about this situation. Chances are you have a version less than 3.0. There are several things you can do. Your options can be found at http://rug1.tripod.com/XP_UFT.htmlhttp://rug1.tripod.com/XP_UFT.html
Your other option is to purchase The Master Genealogist (TMG) where you can transfer all of your UFT data directly into the program without need of gedcom (which tends to lose some of the info).