The Sandy Shores UFO is one of many UFO easter eggs in GTA. You will need to have 100% game completion to unlock this easter egg. If you are using the ps3 version of the game there is a glitch you can use to get 100% completion instantly. Click the link below.
Start out by spawning a helicopter.
PlayStation 3, press Circle, Circle, L1, Circle, Circle, Circle, L1, L2, R1, Triangle, Circle, Triangle.
Xbox 360, press B, B, LB, B, B, B, LB, LT, RB, Y, B, Y.
Next you need to fly the helicopter HIGH up above Sandy Shores. It might seem like you are flying as high as possible but you are not. The UFO will only appear with you are above it so keep going up and it will show up eventually!
It is possible to land on the UFO and if you stand in the middle you hover up into the sky but I failed miserably in doing this as you can see from the video above!