My advice is to first allow all columns to allow sorting by default, then prevent sorting on the individual columns you don't want to be sorted.  This is because you have more columns you want to be able to sort than that you don't.

For the first part, set the grid's DisplayLayout.HeaderClickAction to either SortSingle or SortMulti (these are values in the Infragistics.WebUI.UltraWebGrid.HeaderClickAction enumeration).

For the second, set the individual columns' Header.ClickAction property to Select (a value in the same enumeration).  This is the one value in the enumeration that will prevent sorting.