Let say you see a weird light in the sky and you don't know what is, then the first you should do is look it up in a online planetarium. Like Stellarium is a free open source software what anyone can use. You can find it here. http://stellarium.org/
When you are searching for UFOs, then the first you need to do is left out what is a star, planet, airplane or any other aircraft. You need to recognize them first before you can leave them out. And on the same time is the planetarium a fun software to look at the stars!