You can check the UltraDockManager.ActivePane property. That will return a DockableControlPane. I don't think there is a public way to get directly to the DockableWindow which contains the pane, but you can get it's Control property and then get that control's Parent property:

DockableControlPane pane = this.ultraDockManager1.ActivePane;

if ( pane != null )
{
 DockableWindow activeDockableWindow = pane.Control.Parent as DockableWindow;

 if ( activeDockableWindow != null )
 {
  // ...
 }
}