set UltraWebGrid properties:
allow sort:
UWG_AvailableItem.DisplayLayout.AllowSortingDefault=Infragistics.WebUI.UltraWebGrid.AllowSorting.Yes;
sort by click collumn header:
UWG_AvailableItem.DisplayLayout.HeaderClickActionDefault=Infragistics.WebUI.UltraWebGrid.HeaderClickAction.SortSingle;
set a column unsortable:
UWG_AvailableItem.Columns[n].SortIndicator=Infragistics.WebUI.UltraWebGrid.SortIndicator.Disabled;