This is called 「ウ[音便]{おんびん}」 and it is one type of the 「音便 (euphonic sound changes)」 that took place around Heian period (794 - 1185).
「ウ音便」, in the simplest terms possible, is the dropping of the "k" consonant from the [連用形]{れんようけい} (continuative form) of i-adjectives.
The 連用形 of 「うれしい」 is 「うれしく」.
Drop the "k" from 「うれしく」 and you have 「うれしう」.
To make 「うれしう」 even easier to say, you will have 「うれしゅう」.
「うれしゅうございます」 is a very polite form, and not a humble form per se as you suspected. It can be used by anyone when they want to sound polite. The past tense is just as you formed it.
Lastly, despite a popular belief among J-learners, this sentence pattern is still heavily used in many parts of Western Japan. Even in Tokyo, the older and more refined speakers still use 「~~しゅうございます」,「~~しゅう[存]{ぞん}じます」, etc.