It's important to distinguish between Selected and Active. The grid never selects any rows automatically What you are seeing is the ActiveRow, which displays with a highlight just like the selected rows.
The grid's ActiveRow is synched up with the CurrencyManager, so by default the grid's first row appears highlighted. Resetting the ActiveRowAppearance and ActiveCellAppearance will remove the default highlight from the ActiveRow.
this.ultraGrid1.DisplayLayout.Override.ActiveCellAppearance.Reset();
this.ultraGrid1.DisplayLayout.Override.ActiveRowAppearance.Reset();
But it's important to note that this does not prevent the row from becoming the active row, it just that the grid no longer highlights the active row. Since the row is still active (and there is no way to prevent this) anything else that highlights the active row will still highlight the row. For example if you load a Style Library (*.isl) file into your application that applies a style to the ActiveRow, it will still display.
If you want to disable the active row appearance in a more thorough way, completely ignoring all property settings and Style Library settings, you can do this:
this.ultraGrid1.DisplayLayout.Override.ActiveAppearancesEnabled = Infragistics.Win.DefaultableBoolean.False;
Note that this property was added in v9.2 and does not exist in older versions.