How to detect if a player is holding down a key?

There are multiple ways. I'm going to use UserInputService's InputBegan and InputEnded events.

You didn't provide what you wanted to do when they're holding a button, but I'l just run a loop.

-- Local Script:
local UIS = game:GetService("UserInputService")

local holdingUKey = false

-- Detect input began
UIS.InputBegan:Connect(function(inputObject) 
    -- Check if input is the U key.
    if(inputObject.KeyCode==Enum.KeyCode.U)then
        -- make variable true
        holdingUKey = true

        -- Run loop until variable is false
        while holdingUKey do
            print("Holding u key!")
            wait(0.2)
        end

    end
end)

-- Detect input ended
UIS.InputEnded:Connect(function(inputObject)
    -- Check if input lost was the U key.
    if(inputObject.KeyCode==Enum.KeyCode.U)then
        -- make variable false
        holdingUKey = false
    end
end)

Note: You can only detect userinput from a Local Script

I commented everything, but if you have any questions let me know.

There is a function on UserInputService which tells you which keys are currently being pressed. It returns a table of InputObjects which you can search to see if your key is in there.

InputObject has a field KeyCode which corresponds to the pressed key. You can see a table of KeyCode values here.

Thankfully, there is an even more specific function called IsKeyPressed() so that you don't even have to search the list yourself!

Have a look at the API for UserInputService on the official ROBLOX wiki. The function IsKeyPresed() is what you're looking for.

Just pass in the appropriate KeyCode value for the U key and voila!

-- Get a reference to the UserInput Service
input_service = game:GetService("UserInputService")

is_u_down = input_service:IsKeyDown(Enum.KeyCode.U)