Are members of the European Parliament directly elected? If so, why not vote UKIP in those elections to send a message to the Conservatives?
The European Parliament is elected by proportional representation, so candidates are not directly elected, parties are. In this case, UKIP has done very well and came second in terms of number of seats won in 2009.
However, thanks to the First Past the Post system in General Elections to Westminster, the candidate with the most votes in any given consituency wins, and votes for the losing candidates become irrelevant thereafter, so each candidate needs a concentration of support in their contested constituency, rather than broadly across the nation in order to win a seat.
For this reason, all a vote for UKIP would achieve in a general election would be to siphon off votes for the Tory candidate and make it more likely that a Labour or Lib-Dem candidate would win the seat. IMHO this is like cutting your nose off to spite your face. UKIP simply cannot get enough support in any particular constituency to win a seat, and so voting for them is futile and counter productive if your agenda is to elect a government that will on the whole, stand up more for Britain than the other two main parties...