How would I set up an option for in store pick up during check out? The UPS prices come up great and I need to have that, but I also want an option for in store pick up, which charges nothing. How can I go about setting this up?

Kelly, if I understand you correctly, set up an additional method called something like "Collect from Store" and set shipping as zero:
 
Administration > Shipping Modules
Create new module
... or create a "Shipping Method" against an existing module (as an option so that the customer will be offered the choice of delivery or pick up).
 
When the customer selects this option they will not be charged for shipping.
 
I hope this helps.
 
Chris

Helped a lot! Thanks so much!