Can you post the code here? I'm unable to open the file.

Here is the relevant SortComparer from Mike's sample:

internal class MySortComparer : IComparer
{
    int IComparer.Compare(object x, object y)
    {
        // x and y will be UltraGridCell. So cast them to the correct type. 
        var xCell = (UltraGridCell)x;
        var yCell = (UltraGridCell)y;

        // Get the rows
        var xRow = xCell.Row;
        var yRow = yCell.Row;

        // Get the value of the "Int32 1" cell in each row. 
        // If there is a chance that the value will be null or 
        // DBNull, you will need to check for that here. 
        int xInt = (int)xRow.Cells["Int32 1"].Value;
        int yInt = (int)yRow.Cells["Int32 1"].Value;

        // Return the comparison of the two integer values. 
        return xInt.CompareTo(yInt);
    }
}

And the logic from the InitializeLayout method where the class is instantiated:

private void ultraGrid1_InitializeLayout(object sender, Infragistics.Win.UltraWinGrid.InitializeLayoutEventArgs e)
{
    var layout = e.Layout;
    var band = layout.Bands[0];
    var ov = layout.Override;

    ov.HeaderClickAction = HeaderClickAction.SortMulti;
    band.Columns["String 1"].SortComparer = new MySortComparer();
}