All you need to do is goto your server side code and select the object on the left drop down and then select t he event you want on the right drop down for this example it is activecellchange and e.cell will be the ultrawebgridcell

Protected Sub UltraWebGrid1_ActiveCellChange(ByVal sender As Object, ByVal e As Infragistics.WebUI.UltraWebGrid.CellEventArgs) Handles

UltraWebGrid1.ActiveCellChange

Response.Write(e.Cell.Value)

End Sub

If you want to do this on the client side then add a client side event to the ultrawebgrid like so...

<displaylayout>
<ClientSideEvents CellClickHandler="UltraWebGrid1_CellClickHandler" />
</displaylayout>

<script type="text/javascript" id="Infragistics">
function UltraWebGrid1_CellClickHandler(gridName, cellId, button){
//Add code to handle your event here.
}
</script>

Which you can get to in the designer by clicking on the webgrid then goto properties DisplayLayout->ClientSideEvents