Go to the below link there are a lot for developers which will be helpful for integration.
https://www.payu.co.za/for-developers[
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First read the document PayU Advanced RPP, there will be three methods for transaction.
1)Set Transaction
2)Do Transaction
3)Get Transaction
ReturnUrl --> your merchant url, to which the payu returns after transaction completes.
They used SOAP concept, which is also xml but not plain old xml(pox).
Some samples are provided in the above link.
Demo also shown in that part.
After seeing that you will be clear with the transaction process.
I wish you could have fiddler software for watching your request and response, which will be very useful.
Try it.