One of several possible solutions is to handle MouseDown and programmatically select the row at the cursor position:

void ultraGrid_MouseDown(object sender, MouseEventArgs e)
{
    UltraGrid control = sender as UltraGrid;
    UIElement controlElement = control.DisplayLayout.UIElement;
    UIElement elementAtPoint = controlElement != null ? controlElement.ElementFromPoint( e.Location ) : null;
    UltraGridRow rowAtPoint = elementAtPoint != null ? elementAtPoint.GetContext(typeof(UltraGridRow) ) as UltraGridRow : null;
    if ( rowAtPoint != null )
    {
        ISelectionManager selectionManager = control as ISelectionManager;
        if ( selectionManager.ActivateItem(rowAtPoint) == false )
        {
            bool clearExistingSelection = true;
            selectionManager.SelectItem( rowAtPoint, clearExistingSelection );
        }
    }
}

Note that you could also do this in response to MouseUp, MouseClick, etc.