I am not sure what is different in your case, it is working perfectly fine for me. Here is my setup:

<igtbl:UltraWebGrid ID="UltraWebGrid1" runat="server"
            DataSourceID="AccessDataSource1" Height="200px" Width="325px">
            <bands>
                <igtbl:UltraGridBand>
                    <Columns>
                        <igtbl:TemplatedColumn>
                            <CellTemplate>
                                <asp:LinkButton
                                    runat="server"
                                    ID="MyLinkButton"
                                    Text="Press Me"       
                                    OnClientClick="doSomething('<%# Container.Cell.Row.Index %>')" />
                            </CellTemplate>
                        </igtbl:TemplatedColumn>
                        <igtbl:UltraGridColumn BaseColumnName="EmployeeID" DataType="System.Int32"
                            IsBound="True" Key="EmployeeID">
                            <Header Caption="EmployeeID">
                            </Header>
                        </igtbl:UltraGridColumn>
                        <igtbl:UltraGridColumn BaseColumnName="LastName" IsBound="True" Key="LastName">
                            <Header Caption="LastName">
                                <RowLayoutColumnInfo OriginX="1" />
                            </Header>
                            <Footer>
                                <RowLayoutColumnInfo OriginX="1" />
                            </Footer>
                        </igtbl:UltraGridColumn>
                        <igtbl:UltraGridColumn BaseColumnName="FirstName" IsBound="True"
                            Key="FirstName">
                            <Header Caption="FirstName">
                                <RowLayoutColumnInfo OriginX="2" />
                            </Header>
                            <Footer>
                                <RowLayoutColumnInfo OriginX="2" />
                            </Footer>
                        </igtbl:UltraGridColumn>
                    </Columns>
                    <addnewrow view="NotSet" visible="NotSet">
                    </addnewrow>
                </igtbl:UltraGridBand>
            </bands>
            <displaylayout bordercollapsedefault="Separate" name="UltraWebGrid1"
                rowheightdefault="20px" version="4.00">
                <framestyle borderstyle="Solid" borderwidth="1px" font-names="Verdana"
                    font-size="8pt" height="200px" width="325px">
                </framestyle>
                <pager>
                    <PagerStyle BackColor="LightGray" BorderStyle="Solid" BorderWidth="1px">
                    <borderdetails colorleft="White" colortop="White" />
                    </PagerStyle>
                </pager>
                <editcellstyledefault borderstyle="None" borderwidth="0px">
                </editcellstyledefault>
                <headerstyledefault backcolor="LightGray" borderstyle="Solid">
                    <borderdetails colorleft="White" colortop="White" />
                </headerstyledefault>
                <rowstyledefault backcolor="White" bordercolor="Gray" borderstyle="Solid"
                    borderwidth="1px" font-names="Verdana" font-size="8pt">
                    <padding left="3px" />
                    <borderdetails colorleft="White" colortop="White" />
                </rowstyledefault>
                <addnewbox>
                    <boxstyle backcolor="LightGray" borderstyle="Solid" borderwidth="1px">
                        <borderdetails colorleft="White" colortop="White" />
                    </boxstyle>
                </addnewbox>
                <activationobject bordercolor="" borderwidth="">
                </activationobject>
            </displaylayout>
        </igtbl:UltraWebGrid>
   
    
    </div>
    <asp:AccessDataSource ID="AccessDataSource1" runat="server"
        DataFile="~/App_Data/Nwind.mdb"
        SelectCommand="SELECT [EmployeeID], [LastName], [FirstName] FROM [Employees]">
    </asp:AccessDataSource>

And you can see on the screenshot what I get, clicking the links gives the correct IDs of the rows for me. 

 the' <%# Container.Cell.Row.Index %>' didn't work.It show "cannot resolve symbol 'Cell'".