I found a solution to the problem:

//variable Declarations
private Infragistics.Win.Appearance selectedItemAppearance;
private UltraExplorerBarItem lastSelectedItem;

//Inside class constructor
this.selectedItemAppearance  = new Infragistics.Win.Appearance();
this.lastSelectedItem = null;
this.selectedItemAppearance.BackColor = SystemColors.MenuHighlight;
this.selectedItemAppearance.ForeColor = SystemColors.HighlightText;

//Event handler
this.ultraExplorerBar1.ItemClick += new ItemClickEventHandler(ultraExplorerBar1_ItemClick);

private void ultraExplorerBar1_ItemClick(object sender, ItemEventArgs e)
{
    if ( this.lastSelectedItem != null )
        this.lastSelectedItem.Settings.AppearancesSmall.Appearance = null;
    this.lastSelectedItem = e.Item;
    e.Item.Settings.AppearancesSmall.Appearance = this.selectedItemAppearance;
}