Where to add my merchant gateway using ubercart?
There are lots of modules that actually does this. You will need to do some custom coding and integrating with Ubercart. It's been a while since I did this and it also depends on your Ubercart/Drupal version. But you can checkout the quickpay module for drupal 6 integration example.

The typical way of doing these kinds of things, is to create a form and auto post it with javascript to the payment gateway url with all the params needed. It's up to you to send the correct params along and up to the gateway to redirect back. But answering those questions won't be drupal or ubercart related.