UFO stands for unidentified flying object. Usually when people say UFO or flying saucer they mean a visiting alien spaceship. Most UFO sightings are eventually identified to be something ordinary, like a weather balloon, an ordinary airplane or a strange cloud.
An umbrella is a portable shelter that is used for keeping off the rain. Some people also use umbrellas to shelter them from the sun. Small umbrellas that are mainly for keeping off the sun are called parasols.