What's up for that lady? (3)
I believe the answer is:
she
'that lady?' is the definition.
('she' refers to a woman)
'what's up' is the wordplay.
'what's' becomes 'eh's' (sound used to ask 'what?' or 'pardon?').
'up' says the letters should be written in reverse (in down clue: letters go upwards).
'ehs' backwards is 'SHE'.
'for' is the link.
(Other definitions for she that I've seen before include "lady" , "Female pronoun" , "The one who must be obeyed" , "Rider's novel" , "That woman" .)