This is the result of blood, sweat and tears.  The grid has a templated column with ASP buttons in a column.  I'm handling the click on the client side and using the AJAX call to perform processing asynchronously.  I hope the code is clear and helpful to you, and to others.

//Server-side stuff

 protected void Grid_InitializeRow(object sender, RowEventArgs e)
 {
    UltraWebGrid stmGrid =  ( UltraWebGrid ) sender;
    printButton.Attributes[ "OnClick" ] = "return PrintStatus( '" + stmGrid.ID + "', " + e.Row.Index + " );";
 } 

protected void DocumentGrid_XmlHTTPRequest( object sender, XmlHTTPRequestEventArgs e )
{
   if ( e.Type == XmlHTTPRequestType.Custom && e.Data.ToString( ).Contains( "ReportName" ) )
   {
       UltraWebGrid stmGrid = sender as UltraWebGrid;
               
       //… Lots of good stuff
   
       reportId = SomeFunction( );
              
       stmGrid.ClientResponse.StatusMessage = string.Format( "reportId={0}", reportId );
   }
 }

//Client-side stuff

function PrintStatus( gridId, rowIndex )
{
    var grid = igtbl_getGridById( gridId );
    var row = grid.Rows.getRow( rowIndex );  
    var params = "ReportName=PrintStatus";

    grid.invokeXmlHttpRequest( grid.eReqType.Custom, null, params );
    return false; //Don’t fire server-side event
}

function DocumentGrid_XmlHTTPResponseHandler(gridName, rowId, gridResponse)
{
    //Add code to handle your event here.
    if ( gridResponse.StatusMessage.indexOf("reportId=") != -1 )
    {
        var windowName = gridResponse.StatusMessage.replace("reportId=","");
        windowName = windowName.replace(/-/g,"");
        window.open( "../Reports/ShowReport.aspx?" + gridResponse.StatusMessage
                    , windowName
                    , "width=450, height=450, resizable=1, scrollbars=1" );
     }
}