There are no sprocs in MySQL at this time.
There are plans for such, but it will be at least a 4.x (post 4.0) release.
There are some 3rd party things out there to allow you to run inline Perl
and stuff like that, but they are true add ons and are not an exact match to
a stored procedure concept
In a nutshell, this can be rewritten as a join - no sub-select needed, so no
problem (this is true of the vast majority - albeit not all - sub-selects).
Because the "U" table is missing (indeed, it looks like a lot of your join
informaiton is missing too), there's no way for me to give you an acc