Are you sure that you didn't already pick up the Twin Giants ufo, but maybe it is another one that you still need? Open your Quest Log File and look at that quest to see which one you need. If it is the Twin Giants one, and you still can't pick it up, you might want to send an e-mail to help@kingsisle.com and ask them to help you get moving along with this quest. Be sure to give them your UserName in the game, and the name of the wizard who is stuck on this.
In case you want to check it out, this link shows all of the ufo locations, including a detailed map for each one also:
