In this paper, we present an unequal message protection (UMP) coding scheme, which provides unequal error protection (UEP) for a message set consisting of disjoint classes with different reliability requirements. The proposed UMP code is a union of coset codes, each of which is chosen from a class of length-flexible polar codes and can be implemented over a balanced binary tree (BBT). For the UMP code construction, we propose to generate each coset code by superimposing a class indicator vector on a rate-matched BBT code. Then, we present a polarization weight (PW) method for the BBT code construction and a row weight (RW) method for the class indicator vector selection. Numerical results show that our UMP coding scheme can achieve performance within the achievability UMP bound and the converse UMP bound in the finite blocklength regime.