hi
unfortunately, i had the same problem with my F200
It did it on about half the software I had - worked for Doom, Quake, Beat2X, Scumm, BeebEm, but annoyingly had this problem for a lot of stuff such as PocketSNES, MAME and Picodrive and also all the built-in games.
It used to fix itself after a while if i pressed random keys, or held down the B key whilst fiddling with the directional keys, though I think this was just coincidence - after a week or jsut started happening all the time and I couldn't fix it anymore
I've had to send it back (i got it from gp2x.co.uk) - they've agreed it's got a fault and are sending it back to GPH in Korea. I'm told they don't just issue replacements so it may be repaired instead of replaced, so it could be 3 weeks
So I think that is what you may have to do, although I seem to remember reading on here some post about a guy with a similar problem, but it righted itself after a week or two, maybe his key was legitimately stuck.
In addition, I don't think it is the up key that is the problem or anything is stuck, but it seems to be the up-right diagonal. I don't know if this is connected, but if you go to the keys test thing on the main menu, this doesn't show up as being 'pressed', indicating it's not an obvious fault. However, when you push the left and right directional keys together, it shows only the up-right as being pressed, which is fairly stupid! I'm wondering if there's something amiss in the firmware that's reading in buttons incorrectly. I didn't want to risk bricking it, so I didn't try myself - probably best to get it replaced/repaired from wherey ou bought it.
Good luck!!