At the time I wrote the answer jqGrid didn't had frozen columns feature.
If you would use free jqGrid 4.8 (see readme and wiki) then you don't need to do anything. Non-sortable columns have already the correct cursor. See the demo.
If you do need to use an old jqGrid version then you can do the following
var p = myGrid[0].p, cm = p.colModel,
$frozenHeaders = $(myGrid[0].grid.fhDiv)
.find(".ui-jqgrid-htable>thead>tr.ui-jqgrid-labels>th.ui-th-column");
$.each(myGrid[0].grid.headers, function(index, value) {
var cmi = cm[index], colName = cmi.name;
if(!cmi.sortable && colName !== "rn" && colName !== "cb" && colName !== "subgrid") {
$("div.ui-jqgrid-sortable",value.el).css({cursor:"default"});
$($frozenHeaders[index]).children("div.ui-jqgrid-sortable")
.css({cursor:"default"});
}
});
The corresponding demo can be found here.