Hello  
You can use server events  OnUpdateCell ot SelectedCellsChange
C# code:  
  protected void UltraWebGrid1_SelectedCellsChange(object sender, Infragistics.WebUI.UltraWebGrid.SelectedCellsEventArgs e)
    {
        Label1.Text = "change1";
    }
    protected void UltraWebGrid1_UpdateCell(object sender, Infragistics.WebUI.UltraWebGrid.CellEventArgs e)
    {
        Label1.Text = "change2";
    }
ASPX code:
<igtbl:UltraWebGrid runat="server" ID="UltraWebGrid1" Height="200px" Width="325px"
            DataSourceID="SqlDataSource1"
            OnSelectedCellsChange="UltraWebGrid1_SelectedCellsChange"
            onupdatecell="UltraWebGrid1_UpdateCell">
            <Bands>
                <igtbl:UltraGridBand>
                    <Columns>
                        <igtbl:UltraGridColumn BaseColumnName="0" Type="CheckBox" Key="0">
                            <Header Caption="0">
                            </Header>
                        </igtbl:UltraGridColumn>
                        <igtbl:UltraGridColumn BaseColumnName="LastName" IsBound="True" Key="LastName">
                            <Header Caption="LastName">
                                <RowLayoutColumnInfo OriginX="1" />
                            </Header>
                            <Footer>
                                <RowLayoutColumnInfo OriginX="1" />
                            </Footer>
                        </igtbl:UltraGridColumn>
Hope this helps.