In most cases (certainly all involving "partnerships" like UA/US) you check your bag at the start and see it at the finish; the first airline will "interline" it for you. The exceptions are with Southwest and some minor carriers which don't interline, and when you are arriving in the States from outside the country and continuing beyond your entry city on another flight (when you have to get your bag, take it through Customs, then recheck it).

Hope that helps.