You may want to tell us what keyboard you have configured. That way others who have configured the same keyboard can tell you which key combination to enter to get the ü.
Many applications provide a way for you to enter the lowercase u, with diaeresis. Aside from what these applications offer, you can always use your numeric keypad on your keyboard to enter the character. The decimal code for the lowercase u, with diaeresis, is 0252. So, if you hold the ALT key while entering 0252 on the numeric keypad, the ü will appear.
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