Thanks guys, exactly what I was after.

Or you could just use:

        private void ultraGrid1_InitializeLayout(object sender, Infragistics.Win.UltraWinGrid.InitializeLayoutEventArgs e)
        {
            UltraGridLayout layout = e.Layout;         
            UltraGridOverride ov = layout.Override;

            ov.ActiveCellRowSelectorAppearance.BackColor = Color.Yellow;
            ov.ActiveCellColumnHeaderAppearance.BackColor = Color.Yellow;

            // You may have to turn off themes on the column headers. 
            ov.HeaderAppearance.ThemedElementAlpha = Alpha.Transparent;            
        }

Here is the sample