I'm not sure if this is 100% correct - there might be some situations where it's not quite right if you have child bands or filtering or grouping, but it seems to work in the sample and it should get point you in the right direction. 

        private void UltraGrid1_BeforePerformAction(object sender, Infragistics.Win.UltraWinGrid.BeforeUltraGridPerformActionEventArgs e)
        {
            switch (e.UltraGridAction)
            {
                case Infragistics.Win.UltraWinGrid.UltraGridAction.BelowCell:                    
                case Infragistics.Win.UltraWinGrid.UltraGridAction.AboveCell:
                    e.Cancel = true;

                    var grid = (UltraGrid)sender;
                    var activeCell = grid.ActiveCell;
                    if (null == activeCell)
                        return;

                    var activeRow = activeCell.Row;

                    var direction = e.UltraGridAction == UltraGridAction.AboveCell
                        ? SiblingRow.Previous
                        : SiblingRow.Next;

                    var relatedRow = activeRow.GetSibling(direction, true, false, true);
                    if (null != relatedRow)
                        relatedRow.Cells[activeCell.Column].Activate();

                    break;
            }
        }