Which model of Ultegra do you have? I'm guessing the 6700 family? If so, the cable entry port is under the rubber hood. You shift the lever to the small-cog position, peel the hood forward, and push the inner wire to feed it backwards out of the lever. There's also an "escape hatch" secured by tiny Phillips screws that you can use if the head breaks off the cable and needs to be extracted.