UPP is a script. It doesn't use scripts.
"Highlighting" your name when you have a PM is easy enough to do. It just depends what exactly you mean by highlighting. You can have a tooltip popup, you can have it show the PM in the active window. You can have all PMs go to a single window. Some of this is available right from mIRC and some you might need to use a small script to do. I'd suggest asking in the Scripts forum for help if you want a small script to do that or else checking sites like Hawkeye and Mircscripts for ones that are already done.