You can achieve that by setting the border on the td and th cells, but making the border-top and border-bottom none for the td, but then setting surrounding border of the entire table as well.
The following css is an example:
table {
border-collapse:collapse;
border: 1px solid #000;
}
th {
background-color: #ccc;
border-left: 1px solid #000;
border-bottom: 1px solid #000;
padding: 5px;
}
td {
border-left: 1px solid #000;
padding: 5px;
}
Link to JS Fiddle