There are two solutions for this problem, 

1 -

  private void ultraExplorerBar1_ContextMenuInitializing(object sender, Infragistics.Win.UltraWinExplorerBar.CancelableContextMenuInitializingEventArgs e)
        {
            e.Cancel = true;
        }

you can also try this 

2 -  ultraExplorerBar1.ShowDefaultContextMenu = false;

 Regards

Asad