One way is to set SortIndicator to 'None' for the column, then handle the AfterSelectChange event for column selection. This event will also fire, however, when a column is programmatically selected, so if you need to unambiguously identify a click on the header, you can do this:

void ultraGrid_MouseClick(object sender, MouseEventArgs e)
{
    UltraGrid control = sender as UltraGrid;
    UIElement controlElement = control.DisplayLayout.UIElement;
    UIElement elementAtPoint = controlElement != null ? controlElement.ElementFromPoint( e.Location ) : null;
    UltraGridColumn column = null;

    while ( elementAtPoint != null )
    {
        HeaderUIElement headerElement = elementAtPoint as HeaderUIElement;
        column = headerElement != null ? headerElement.GetContext( typeof(UltraGridColumn) ) as UltraGridColumn : null;
        if ( column != null )
            break;

        elementAtPoint = elementAtPoint.Parent;
    }

    if ( column != null )
    {
        //  Do stuff here
    }

}