First, get a reference to your column, cast to a TemplatedColumn object.  Its HeaderItem property is a control container that will have the instance of whatever controls you had placed in your header template.

For example, in C#:

using Infragistics.WebUI.UltraWebGrid;
...
TemplatedColumn tc = ultraWebGrid1.Columns.FromKey("CheckboxCol") as TemplatedColumn;
CheckBox cb = tc.HeaderItem.FindControl("HeaderCheckBox") as CheckBox; // Pass in the ID of your checkbox here