Damien,

There's nothing built into the control to handle this, but it's pretty straightforward to implement.  Basically, you should create a tab at the time you create the UltraTabControl, setting the Key/Text to "+".  Then you would handle the SelectedTabChanging event, cancelling the selection of the "+" tab and inserting a new one:

private void ultraTabControl1_SelectedTabChanging(object sender, SelectedTabChangingEventArgs e)
{
    if (e.Tab.Key == "+")
    {
        e.Cancel = true;
        UltraTab tab = this.ultraTabControl1.Tabs.Insert(this.ultraTabControl1.Tabs.Count - 1);
        tab.Selected = true;
    }
}

-Matt