Are there any advantages in the 'UltraDataSource' over the 'DataSet'? How can I 'move' from 'DataSet' to the Infragistics component?
You could take a look at the following forum thread, where these and some other topic have been discussed:
http://community.infragistics.com/forums/t/46585.aspx
and also take a look at the following articles about some of the component features http://help.infragistics.com/NetAdvantage/WinForms/2012.1/CLR2.0/?page=Win_WinDataSource_Using_WinDataSource.html.