To amplify Greg's response just a bit:
The UP steam program is based out of Cheyenne, WY. UP generally operates steam several times each year with either the Challenger (3985) or their big Northern (844) - or occasionally both. You can just about count on the regular Cheyenne Frontier Days train in late July (Denver-Cheyenne-Denver plus ferry runs) and a trip back to Omaha/Council Bluffs in early August. In recent years there's generally been at least one multi-state tour of one form or another each year. The UP is very good about publishing detailed schedules for any steam outing, and on recent trips has even had a GPS-driven live map display available.
844 is currently on the road again even as I type (and you read), at a RR celebration at Kansas City's Union Station.
3985 last ran about year ago when it did an extensive tour of northern CA and the Pacific NW. I believe, though more knowledgable folk may correct me, that the Challenger is now down for "a while" undergoing major overhaul. 844 did Frontier Days honors this year along with the UPs beautiful E units.
For more info on UP special trains (the web site Greg references) see the link below.
Scott