The  column objects have a property called SortIndicator that you can set to display either ascending, descending or none.

The actual images used can be changed by setting the path to the images you want to use to the grid's DisplayLayout.Images property.

To disable the grid's sort you need to set the Cancel property of the event argument to true and then clear the sorted columns collection. You then will need to set up the sort indicators again in the page's prerender event. There's a knowledge base article that shows what you need to do. 

If you're using 7.1 or above, you might want to look at using the grid's DisplayLayout.SortingAlgorithmDefault and DisplayLayout.SortImplementation properties to provide a delegate method to handle the sorting whenever the grid needs to be sorted. 

To make it work you need to set the SortingAlgorithmDefault to Custom and supply a sort implementation method delegate in the page's Init stage before the grid starts to do any data binding:

protected override void OnInit(EventArgs e)
{
    base.OnInit(e);

    UltraWebGrid1.DisplayLayout.SortingAlgorithmDefault = SortingAlgorithm.Custom;
    UltraWebGrid1.DisplayLayout.SortImplementation = new SortRowsCollection(SortRows);
}

Then you can put whatever logic you want into the method. Here's a sample one that sorts based on the alphabetical sort order of the words once they've been reversed:

public void SortRows(RowsCollection rows, int[ indices)
{
    List<SortedItem> list = new List<SortedItem>();
    foreach (UltraGridRow row in rows)
    {
        list.Add(new SortedItem(row.Index, ReverseWords(row.Cells[UltraWebGrid1.Bands[0].SortedColumns[0].Index].Value.ToString())));
    }

    list.Sort();

    for (int x = 0; x < list.Count; x++)
    {
        if (UltraWebGrid1.Bands[0].SortedColumns[0].SortIndicator == SortIndicator.Descending)
            indices[x] = list[(list.Count - 1) - x].OriginalIndex;
        else
            indices[x] = list[x].OriginalIndex;
    }
}

private class SortedItem : IComparable
{
    int _originalIndex;
    string _value;

    public SortedItem(int index, string value)
    {
        this.OriginalIndex = index;
        this.Value = value;
    }

    public int OriginalIndex
    {
        get { return _originalIndex; }
        set { _originalIndex = value; }
    }

    public string Value
    {
        get { return _value; }
        set { _value = value; }
    }

    public int CompareTo(object obj)
    {
        if (obj is string)
            return Value.CompareTo((string)obj);
        if (obj is SortedItem)
            return Value.CompareTo(((SortedItem)obj).Value);
        throw new ArgumentException("Can only compare SortedItem objects to other SortedItem objects or to strings");
    }

}