According to the "MLA Handbook for Writers of Research Papers" (7th ed.), when formatting a paper in MLA style, a university name should not be underlined or italicized unless it's part of a title. Like other proper nouns, a university name should be capitalized, though.
University names are proper nouns, meaning they are specific names. So, you would capitalize "University of Wisconsin" just as you would capitalize "Mr. John Smith." As with other titles, you do not capitalize small words like "of" or "the" within a university name unless it is the first word.
When to Underline
You should italicize the titles of most larger works, like those of books, movies, magazines and newspapers. You should only underline a title if italics are not an option; for example, if you are handwriting a document rather than using a computer. You would only italicize or underline a university's name if it were part of such a title.