UltraExplorerBar actually does not support a notion of selection for items; when the UltraExplorerBar.ItemSettings.Style property is set to 'StateButton', it supports the checking of items, but not selection. That aside, you could use the 'Button' item style, hande the ItemClick event and toggle/keep track of the item's "selected" state through external means (possibly using the item's Tag property) and then assigning an Appearance (see UltraExplorerBarItem.Settings.AppearancesSmall.Appearance) based on whether it is selected or not. You would then also have to keep track of the items that are selected; that list would define your universe of "selected items".

Another approach might be to set the UltraExplorerBar.GroupSettings.Style property to 'ControlContainer', and add a control that natively supports multiple item selection (see UltraListView, UltraTree, UltraGrid) to the container control's Controls collection. In that case your selection universe is defined by the control that is being hosted by UltraExplorerBar.