A generalized measurement can be defined as follow:
It is a set of operators $\{M_m \}$ such that, given an initial quantum state $|\psi\rangle$, we have the state after measurement being:
$$|\psi\rangle \rightarrow \frac{M_m |\psi\rangle}{\langle \psi | M_m^{\dagger}M_m |\psi\rangle} $$
The probability to find the outcome $m$ is: $p(m)=\langle \psi | M_m^{\dagger}M_m |\psi\rangle$
We can interpret the generalized measurement as entanglement unitary between a system and an ancillary system, and then a measurement on this ancillary system via the following:
$$U |\psi \rangle |0 \rangle = \sum_m M_m |\psi \rangle |m \rangle$$
My question is: how to prove that this $U$ is indeed a unitary ? I guess we also have to define its action on other states than $|0\rangle$ in the ancillary system, but how to do it ?