I can't find IC UM66
Must I add a Library? If so, which Library?
I don't know Proteus, but as you can imagine: No software can know all the ICs in the world.
I tried to figure out what UM66 is, and it seems to be some obscure "melody IC" in a rather transistor-typical TO-92 package.
So, this component is quite possibly not in any library; you'll have to define that yourself!
As every schematic capture system, Proteus certainly allows you to add devices to your own library. Shouldn't be too hard!
This seems to be a blog post explaining the procedure that you'll have to do for your UM66, but as said, I don't know Proteus and hence, this guidance might or might not be good.