Hello,

For difference between WebDataGrid and UltraWebGrid you can take a look  at the link: http://forums.infragistics.com/forums/t/16141.aspx

For binding of UltraWebGrid you can look code below:
Dynamic bind:
        DataSet1 ds = new DataSet1();

        DataSet1TableAdapters.ProductsTableAdapter prod = new DataSet1TableAdapters.ProductsTableAdapter();

        prod.Fill(ds.Products);

        UltraWebGrid1.DataSource = ds;
        DataBind();

You can set Key and HeaderText with this code:

C#:
UltraWebGrid1.Columns[0].Header.Caption = "test";
UltraWebGrid1.Columns[0].Header.Key = "test";

or with ASPX:
<igtbl:UltraGridColumn BaseColumnName="CustomerID" IsBound="True" Key="test">
                            <Header Caption="test">
                                <RowLayoutColumnInfo OriginX="1" />
                            </Header>
                            <Footer>
                                <RowLayoutColumnInfo OriginX="1" />
                            </Footer>
                        </igtbl:UltraGridColumn>

Hope this helps.