The U-Disk, if I remember correctly, is in the subway station beneath Ein's lab. After the Cipher Peons blow up the next room but before you go back to The Under..........step by step:
1. Arrive at Ein's Lab--Subway Stop.
2. Encounter two Cipher Peons.
3. Chase the Peons into the next room, where they will blow a hole in the ground to stop you from getting in.
4. Return to the Subway Stop.
5. As soon as you leave the blown-up room, take a right turn and go all the way to the end of the chamber.
6. There will be a chest at the end, near the subway tunnel. Pop it open to get the U-Disk.
And just because I'm feeling generous, I'll list the rest of the Disks and their locations for anyone wondering:
F-Disk (forward): Mt. Battle, after beating Dakim
R-Disk (right): Given by Silva in The Under
D-Disk (down): Snagem Hideout, after beating Gonzap a second time
L-Disk (left): Recieve in The Under after giving the old man his Steel Teeth back
