See the UpdateMode property of the grid's DisplayLayout.

What do you mean by "get rid of this?" Get rid of what?

If you want to trap a change in the selection, you should use the CellChange event of the grid. The dropdown has events that fire, but they will not be very useful to you in a grid.

There are samples of using UltraDropDown in the WinGrid Samples Explorer, I'm sure. 

It's really not much different than a ValueList. You put the UltraDropDown on the form and bind it just like you would a grid. Then you assign it to the grid column via the ValueList property - just like you do with a ValueList. You will probably want to set the DisplayMember and ValueMember on the UltraDropDown, too. These tell it which column to use for the display text and the data value respectively.