Snippet below will demonstrate how to display the headers only once.

private void ultraGrid1_InitializeLayout(object sender, 
  Infragistics.Win.UltraWinGrid.InitializeLayoutEventArgs e)
{
	// Set the HeaderPlacement on the layout's Override object. This affects all
	// the bands of the WinGrid.
	e.Layout.Override.HeaderPlacement = HeaderPlacement.OncePerGroupedRowIsland;
	// You can override it on a specific band by setting the property on the
	// band's Override object.
	e.Layout.Bands[0].Override.HeaderPlacement = HeaderPlacement.FixedOnTop;
}

Documentation link for controlling the placement of headers can be found here:

http://help.infragistics.com/NetAdvantage/WinForms/2010.3/CLR2.0/?page=WinGrid_Control_the_Placement_of_Headers.html