I've actually figure this one out.
Steve's answer colours the editor part and the drop down part as well.
You need to apply other Appearance properties as well.
// This is a copy from Steve's answer
// Directly via the BackColor property
ultraCalendarCombo1.BackColor = Color.Blue;
// Using an Appearance object
ultraCalendarCombo1.Appearance
= new Infragistics.Win.Appearance { BackColor = Color.Blue };
// Now we set the drop down part to a different colour (Let's say white)
ultraCalendarCombo1.DropDownApperance
= new Infragistics.Win.Appearance { BackColor = Color.White };
I believe you can do it by creating .isl (Infragistics Style Library) files but I wasn't quite sure how to swap these in and out programmatically.