Every UltraGridColumn has a property called Index that is the index of the column in the band's column collection. So if you want to search a column using the header text you could write this
For Each col In Me.TransactionsGrid.Rows.Band.Columns
If (col.Hidden = False) Then
if col.Header.Caption = searchedHeaderText Then
grid.ActiveRow.Cells(col).Value = col.Index.ToString()
End If
End If
Next
What do you really want to do with the Index information is not very clear from your questio, so I have used this info to set the value of the ActiveRow in the cell corrisponding to the column searched. Add more info to your question is this is not what you want.