I don't know if there is a way to do it without code.  If there isn't, here is some code to do it:

Private Sub grid_MouseDown(ByVal sender As Object, ByVal e As System.Windows.Forms.MouseEventArgs) Handles grid.MouseDown
    If e.Button = Windows.Forms.MouseButtons.Right Then
        Dim mousePoint As Point = New Point(e.X, e.Y)
        'get the user interface element from the location of the mouse click
        Dim element As UIElement = gridEquipment.DisplayLayout.UIElement.ElementFromPoint(mousePoint)
        Dim row As UltraGridRow = Nothing
        'see if that element is an ultragridrow
        row = CType(element.GetContext(GetType(UltraGridRow)), UltraGridRow)
        If row IsNot Nothing Then
            'select the row first
            row.Selected = True
        End If
    End If
End Sub