the random variable U has the normal distribution with mu=0 and variance=2 and V=U^2
Calculate P(V \geq 1)
confused!
Then, you use the normal distribution, by transforming it into a standard normal distribution (Normal distribution - Wikipedia, the free encyclopedia). Everything is in the link...
I took the square root
$\displaystyle a=b^2 \implies b=\pm \sqrt{a} \Longleftrightarrow |b|=\sqrt{a}$
This is quite the same here ^^
Edit : I'm sorry, I misread the question... Well, we know the law for U, not for UČ. And from one to another, there is only the step mentioned above