I originally set out to replace the TextUIElement in the caption area with a FormattedTextUIElement but the OnLinkClicked method never got called and it took less time to derive an element from TextUIElement and make it look like a link than it would have to try to figure out why the FormattedTextUIElement wasn't working. I'm sure I missed something simple so you can replace the LinkElement class here (see below) with that if you like:

this.ultraGrid.DisplayLayout.CaptionVisible = DefaultableBoolean.True;
this.ultraGrid.CreationFilter = new GridCaptionLinkCreationFilter( "somebody@somewhere.com" );

#region LinkElement class
public class LinkElement : TextUIElement
{
    public LinkElement( UIElement parentElement, string text ) : base( parentElement, text ){}

    protected override void OnClick()
    {
        //  TODO: Open link
    }

    protected override void InitAppearance(ref AppearanceData appData, ref AppearancePropFlags flags)
    {
        if ( (flags & AppearancePropFlags.TextHAlign) == AppearancePropFlags.TextHAlign )
        {
            flags &= ~AppearancePropFlags.TextHAlign;
            appData.TextHAlign = HAlign.Center;
        }

        if ( (flags & AppearancePropFlags.FontUnderline) == AppearancePropFlags.FontUnderline )
        {
            flags &= ~AppearancePropFlags.FontUnderline;
            appData.FontData.Underline = DefaultableBoolean.True;
        }

        if ( (flags & AppearancePropFlags.ForeColor) == AppearancePropFlags.ForeColor )
        {
            flags &= ~AppearancePropFlags.ForeColor;
            appData.ForeColor = SystemColors.HotTrack;
        }

        if ( (flags & AppearancePropFlags.Cursor) == AppearancePropFlags.Cursor )
        {
            flags &= ~AppearancePropFlags.Cursor;
            appData.Cursor = Cursors.Hand;
        }

        base.InitAppearance(ref appData, ref flags);
    }
}
#endregion LinkElement class

#region GridCaptionLinkCreationFilter class
private class GridCaptionLinkCreationFilter : IUIElementCreationFilter
{
    private string linkText = null;
    public GridCaptionLinkCreationFilter( string linkText )
    {
        this.linkText = linkText;
    }

    #region IUIElementCreationFilter Members

    public void AfterCreateChildElements(UIElement parent)
    {
        CaptionAreaUIElement captionAreaElement = parent as CaptionAreaUIElement;
        if ( captionAreaElement != null )
        {
            UIElement element = captionAreaElement.GetDescendant( typeof(TextUIElement) );
            if ( element != null )
            {
                Rectangle rect = element.Rect;
                captionAreaElement.ChildElements.Remove( element );
                LinkElement linkElement =
                    new LinkElement( captionAreaElement, this.linkText );

                linkElement.Rect = rect;
                captionAreaElement.ChildElements.Add( linkElement );
            }
        }
    }

    public bool BeforeCreateChildElements(UIElement parent)
    {
        return false;
    }

    #endregion
}
#endregion GridCaptionLinkCreationFilter class

EDIT

I just remembered what it was, you have to wrap the text you assign in an anchor (<a></a>) tag. So the LinkElement implementation then becomes this:

#region LinkElement class
public class LinkElement : Infragistics.Win.FormattedLinkLabel.FormattedTextUIElement
{
    public LinkElement( UIElement parentElement, string text ) : base( parentElement)
    {
        this.Value = new Infragistics.Win.FormattedLinkLabel.ParsedFormattedTextValue(text);
    }

    protected override void OnLinkClicked(Infragistics.Win.FormattedLinkLabel.LinkClickedEventArgs e)
    {
        base.OnLinkClicked(e);
    }

}
#endregion LinkElement class