Depending on your version of UltraEdit there are several methods to help you to convert a text file to a HTML file.
You can use the HTML Toolbar. Search in the Index of the UltraEdit help for these 2 words. If you can't find it, your version of UltraEdit does not have the HTML Toolbar.
You can use templates which first must be defined at Advanced - Display/Modify Templates. Press F1 when the dialog is open for the help about templates. You can use the templates with self-defined hot keys, via the Advanced - Insert Template or Adanced - Individual Templates or via the template list view which can be enabled/disabled at View - Views/Lists - Template List.
For HTML tags also the taglist view can be used which can be enabled/disabled at View - Views/Lists - Tag List.
All three methods above support inserting start and end tag at begin and end of a current selection.
Last and fastest method would be to use a macro to convert text files into HTML files. But this would need some knowledge about macro writing.