You are right. It's in format menu, but not available in toolbar configuration dialog. But you can add it manually by editing your *.tfg directly.

If you use Advanced.tfg (default after installation), open it with UE (it's a text file) and add following line where you want the icon/function to appear.
I suggest to create your own personal toolbar file (*.tfg) and use this instead of default advanced.tfg to avoid problems with future updates.

The toolbar files are at same location as uedit32.ini. For new installations at Win2k and WinXP it is in the directory defined by the environment variable APPDATA (older installations have it in the Windows directory).

In UltraEdit open Advanced - DOS Command..., enter set in the command field and press OK button. The system command "set" is executed, which prints an alphabetical list of all environment variables currently set. This list is captured by UltraEdit. Look at the line starting with APPDATA= and you will see the path to your personal application data directory. The default for english Windows NT OS is:

C:\Documents and Settings\username\Application Data\IDMComp\UltraEdit\

You are wondering, why you could not find it. I guess, you use the Windows Explorer and the option Do not show hidden files and folders at "Windows Explorer - Tools - Folder Options - View" is set (which is default). Change the option to Show hidden files and folders to really get displayed (nearly) all files and folders on your harddisk including the users application data directory.