Sure thing pretty easy actually.
//Class Level
Ice.Lib.Framework.EpiUltraGrid myGrid;
//Get a Hold of the GridOn the InitCustomCodeFunction
myGrid = csm.GetNativeControlReference("<GuidHere>");
grid.BeforeRowsDeleted += new Infragistics.Win.UltraWinGrid.BeforeRowsDeletedEventHandler(myGrid_BeforeRowsDeleted);
//Be a good citizen and destroy the handler in your Closing Function
grid.BeforeRowsDeleted -= new Infragistics.Win.UltraWinGrid.BeforeRowsDeletedEventHandler(myGrid_BeforeRowsDeleted);
//Declare your handler function and "jhandle" the delete event (AKA Cancel)
private void myGrid_BeforeRowsDeleted(object sender, Infragistics.Win.UltraWinGrid.BeforeRowsDeletedEventArgs args)
{
args.Cancel = true; //this "cancels" the delete event
}