Here's another way to do it:

        private void ultraGrid1_InitializeLayout(object sender, Infragistics.Win.UltraWinGrid.InitializeLayoutEventArgs e)
        {
            UltraGridLayout layout = e.Layout;
            UltraGridOverride ov = layout.Override;

            ov.HeaderClickAction = HeaderClickAction.Select;
        }

If you set the UltraGridColumn.SortIndicator property to 'Disabled' for the column, you will get the behavior you describe here without further intervention.