I want to preface this with a recommendation that you reconsider doing this because user will almost certainly think there is a serious bug at play when they click a column header or cell and that column vanishes. You can set UltraGrid.DisplayLayout.Override.RowSelectorHeaderStyle to ColumnChooserButton to get the grid to show a button in the top left corner which, when clicked, displays a dialog that enables the user to show/hide columns.

The answer to your original question is, you can hit test for a column using UIElement methods like ElementFromPoint and GetContext; the former gives you a way to get a reference to the UIElement at the cursor position, and the latter lets you determine which column the element belongs to. Once you have a reference to the column you can set its Hidden property to true, although once you do there would be no way for the user to make that column visible again.