For a point of reference let me copy the MM Dev Guide Instructions:
1. Install the new version of Infragistics Controls
2. Follow Infragistics' instructions for updating your existing web projects (should read win)
3. Uninstall the old MM .NET Infragistics Controls
4. If you are working with the MM .NET Infragistics WEB controls, reboot your computer
5. Install the new MM .NET Infragistics controls
6. In Visual Studio, remove the old MM .NET Infragistics controls from your Toolbox (you can remove the entire tab), then add the new controls to your Toolbox

Please check that you completed steps 2 and 3 prior to step 5.
Additionally, were the new Infragistics controls installed by accepting the default locations?

Is this a new project or an existing project that you are trying to drag the UltraGrid to that had previous references to the Old MM.NET Infragistics WinControls? If it is an existing project then that would explain the message you received. This can be overcome with step 2.