"Note that if you don't have column selection enabled, this will mean that clicking on this column header will do nothing."
Just for reference, do you mean?
Ultragrid1.DisplayLayout.Override.SelectTypeCol = SelectType.None
It worked like a charm. Thanks.
Set the column's Header.ClickAction property to Select (or to Infragistics.WebUI.UltraWebGrid.HeaderClickAction.Select if doing this in code).
Note that if you don't have column selection enabled, this will mean that clicking on this column header will do nothing.