From help of UltraEdit/UEStudio about Output Window command :
Double clicking on a line containing the filename and line number will cause UltraEdit to attempt to open the file specified at the line number. If the filename is fully qualified the filename will be located and the number after this will be used for the line number. If the filename is not fully qualified UltraEdit will attempt to determine the filename from the first word in the line that contains a period. UltraEdit will the open the specified file in the directory of the active file. If the file does not exist in the directory of the active file, UltraEdit will try and open the file from the Project Directory if it is specified.
It's not possible to specify a column number. The cursor will be always placed at start of the line. The prefered naming scheme is:
But slightly different schemes will also work.