Prueba con el evento
BeforeCellActivate.
Código vb.net:
Ver originalPrivate Sub UltraGrid1_BeforeCellActivate(ByVal sender As System.Object, ByVal e As Infragistics.Win.UltraWinGrid.CancelableCellEventArgs) Handles UltraGrid1.BeforeCellActivate
MessageBox.Show(e.Cell.Value.ToString())
End Sub
Espero sea lo que buscas.
