UFOs are rare moving circular items found in random places and have recources on them. If you find one move the mouse untill the arrow is pointing to it and it will disappear wait untill a message with random letters and numbers appear then click ok and click the events icon and it will say that you have interceptid a UFO and a recource beamed down.

This is good for newer players because I don't think they have UFOs in the guide yet. Some things to add on to yours, if you catch more then 1 in a set time period, a message will come up saying you already caught one earlier and you don't get resources. So don't go looking for UFOs because it is not worth it. Also, they give less resources after the first one you catch everyday.

Woow Useful guide on UFO's.