I found a solution that works pretty well so if that could help anybody else, here is it :

First of all, create an event handler for InitializeRecord into you grid like this : InitializeRecord="MyGrid_InitializeRecord"

After that, we have to create an UnboundField with a checkEditor :

                         <igDP:UnboundField Name="Selected" Label=" ">
                            <igDP:Field.Settings>
                                <igDP:FieldSettings CellWidth="10" CellMaxWidth="30" EditAsType="{x:Type sys:Boolean}" AllowEdit="True"
                             EditorType="{x:Type igEditors:XamCheckEditor}"  />
                            </igDP:Field.Settings>
                        </igDP:UnboundField>

In the event handler, just get the cell :

         private void MyGrid_InitializeRecord(object sender, Infragistics.Windows.DataPresenter.Events.InitializeRecordEventArgs e)
        {
            DataRecord dr = e.Record as DataRecord;
            if (dr != null)
            {
                Cell cell = dr.Cells["Selected"];
            }
        }

You can so set the defauld value with :

                 cell.Value = false;      

and create an handler for the event PropertyChanged, here is the code : 

                 cell.PropertyChanged += new System.ComponentModel.PropertyChangedEventHandler(cell_PropertyChanged);

The complete handler look like this :

        private void MyGrid_InitializeRecord(object sender, Infragistics.Windows.DataPresenter.Events.InitializeRecordEventArgs e)
        {
            DataRecord dr = e.Record as DataRecord;
            if (dr != null)
            {
                Cell cell = dr.Cells["Selected"];
                cell.Value = false;
                cell.PropertyChanged += new System.ComponentModel.PropertyChangedEventHandler(cell_PropertyChanged);
            }
        }

You have so an other handler which tells you whe you change the value of the checkBox :

        void cell_PropertyChanged(object sender, System.ComponentModel.PropertyChangedEventArgs e)
        {
            //your code
        }

I don't know if it's the best may but it works.

I hope that infragistics team will give some comments....

gle

Then to know when the cell value has been changed, you could use a regular checkbox (via a custom CellValuePresenter style) and attach a command.  You would then bind to the CommandExecute for the command which will get fired when the value of the checkbox is toggled.  This post http://forums.infragistics.com/forums/p/5319/24600.aspx#24600 contains a sample project that shows how to create the custom CellValuePresenter style and listen to the command execute when the checkbox is checked. 

BTW, the reason you have to use a regular checkbox here nad not a XamCheckEditor is because we are not exposing Command related properties on the XamCheckEditor (which we should probably be doing :-( )

Joe