Hi Mike,
        I tried out this. Unfortunately I haven't succeeded.

1. Sorting the grid in a Custom order

     I wrote following Comparer where it is valid only for absolute descending sorting. But I found that this is not at all called even if I set SortComaparer to the column.

 private class MySortComparer : IComparer
 {
     internal MySortComparer()
     {
     }
 
     int IComparer.Compare(object x, object y)
     {
         UltraGridCell xCell = (UltraGridCell)x;
         UltraGridCell yCell = (UltraGridCell)y;
 
         double value1 = Double.Parse(xCell.Value.ToString());
         double value2 = Double.Parse(yCell.Value.ToString());
 
         return (Int32)(Math.Abs(value1) - Math.Abs(value2));
 
     }
}

3. Toggling the sort:

Here is the code for setting this sort comparer.

private void ultraGrid_BeforeSortChange(object sender, Infragistics.Win.UltraWinGrid.BeforeSortChangeEventArgs e)
{
    if (!(e.SortedColumns[0].Key.Equals("Value")))
    {
        //
        // I want this kind of sorting for only "Value" column.
        //
        return;
    }
    //
    // I am sure that I have single column sorting
    //
    UltraGridColumn column = e.SortedColumns[0];
    SortIndicator indicator = column.SortIndicator;
    //
    // Moving from Descending to Ascending. Here we need to move to AbsoluteDescending.
    //
    if (indicator == SortIndicator.Ascending)
    {
       MySortComparer sortComparer = new MySortComparer();
       column.SortComparer = sortComparer;
       //column.SortIndicator = SortIndicator.None;
      
       //
       // If I uncomment the above statement, I am getting Exception where it is saying that we can't change
       // SortIndicator in BeforeSortChage Event
       //
    }
    //
    // Moving from Ascending to descending. We won't need any customization here
    //
    else if (indicator == SortIndicator.Descending)
    {
        Console.WriteLine("going from ascending to descending ");
    }
    //
    // Assuming that we should come from absolute descending to ascending.
    //
    else
    {
        //
        // Need to remove SortComparer.
        //
        column.SortComparisonType = SortComparisonType.Default;
        //column.SortIndicator = SortIndicator.Ascending;
    }
}

2. Showing a Plus Sign:
     I have written a DrwaFilter class to draw + Symbol. Instead of getting through an image, I am
     just drawing the + symbol. But I have obderved that it is drawing every time even if
     column is in ascending mode or descending mode.

        public class Sort_Order_Indicator_DrawFilter : IUIElementDrawFilter
        {
            #region IUIElementDrawFilter Members

            bool IUIElementDrawFilter.DrawElement(DrawPhase drawPhase, ref UIElementDrawParams drawParams)
            {
                if (drawPhase == DrawPhase.AfterDrawElement)
                {
                    HeaderUIElement headerUIElement = drawParams.Element as HeaderUIElement;
                    if (headerUIElement != null)
                    {
                        UltraGridColumn column = drawParams.Element.GetContext(typeof(UltraGridColumn)) as UltraGridColumn;
                        using (Font font = new Font("Arial", 14))
                        {
                            using (SolidBrush solidBrush = new SolidBrush(Color.Black))
                            {
                                StringFormat stringFormat = new StringFormat();
                                stringFormat.Alignment = StringAlignment.Far;
                                stringFormat.LineAlignment = StringAlignment.Near;

                                DrawStringParameters drawStringParameters = new DrawStringParameters(
                                    drawParams.Graphics,
                                    "+",
                                    font,
                                    solidBrush,
                                    headerUIElement.Rect,
                                    stringFormat,
                                    GdiDrawStringFlags.GDIPlus,
                                    TextOrientationInfo.Horizontal);

                                // Draw the string.
                                DrawUtility.DrawString(ref drawStringParameters);
                            }
                        }
                    }
                }
                return false;
            }

            DrawPhase IUIElementDrawFilter.GetPhasesToFilter(ref UIElementDrawParams drawParams)
            {
                // Trap for a HeaderUIElement
                if (drawParams.Element is HeaderUIElement)
                {
                    UltraGridColumn column = drawParams.Element.GetContext(typeof(UltraGridColumn)) as UltraGridColumn;
                    if (column != null &&
                        (column.SortIndicator == SortIndicator.Ascending
                        || column.SortIndicator == SortIndicator.Descending))
                    {
                        return DrawPhase.AfterDrawElement;
                    }
                }
                // Do nothing.
                return DrawPhase.None;
            }
   
        But I am thinking that I should have one more value for SortIndicator enum which tells about the status of absolute sorting. With the
        help of this, in GetPhasesToFilter we will return true only incase of Absolute Sorting mode so that it will draw + sign.
       
        I tried alot to get this. Can you please tell me (if possible a small example) to get this done.
       
        Thanks very much.
        Sanjeev.