I don't know what UPS you bought but I have an APC Smart UPS 1500 VA hooked up via USB to my workstation running Vista Ultimate. I did not use APC's applications and chose the built-in Vista battery monitoring tool instead. The configuration for the UPS is via the Vista Power Options Applet (Start > Type "Power" on the Start Search > Select Power Options). Note that if you have your UPC hooked up via USB, you will now see "Battery" option under advanced settings.
Under the advanced settings in the applet you can set how many minutes the PC will run under batteries before hibernating, going into sleep mode, etc. In my case I also enabled the battery icon on the tray. It is the same battery icon that appears for laptops. On desktops hooked to a UPS, the indicator displays how much charge the battery contains. In the event of a power failure, it displays how much charge is remaining.
You could also install a battery monitor gadget if the tray indicator is too small for you and you want a fancier indicator on the sidebar.