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I have walked the entire map, well except for the water anyway and no UFO
Try somewhere SW of the starting Vault. You need some luck to be able to find it, 6 is definitely enough.
How much you have in luck?
My luck is at 6
Personally, I'd get a luck of 6 or 7, then get the gifted trait (+ 1 every stat, seriously makes your character some-what OP, easily).
I leveled up and took the explorer perk. Finally found the UFO after finding some other unique locations first.
I've only found it once, it was some where in the South-Eastern part of the map.
Which fallout is he talking about, may I ask?