By default the legend is not interactive. Try using ChartDrawItem event to set up additional properties on the legend primitives to make them clickable:

private void ultraChart1_ChartDrawItem(object sender, Infragistics.UltraChart.Shared.Events.ChartDrawItemEventArgs e){
   if (e.Primitive.Path != null && e.Primitive.Path.IndexOf("Legend") != -1){
      e.Primitive.Caps |= PCaps.HitTest | PCaps.Tooltip;
      if (e.Primitive.Row == -1 && e.Primitive.Column == -1){
         e.Primitive.Row = e.Primitive.Column = 0;
      }
   e.Primitive.Chart = this.ultraChart1.ChartType;
   }
}

After you do this, ChartDataClicked will fire when you click the legend

The colors of the pie chart can be controlled in a number of ways. You can refer to the following help link for more information about using the chart's different color models:
http://help.infragistics.com/Help/NetAdvantage/NET/2007.3/CLR2.0/html/Chart_Appearance.html

I am not able to produce the legend as required.

Can you please suggest

Thanks in advance