Hmm... doesn't seem to do anything. I click on the cell to select it, right-click, select border and shading, select box, click OK and now outline appears around the cell.

Could it depend on the type of table? It was imported into word from a website.

EDIT: never mind; I failed to recognize there is an option in the borders and shading dialog. When I select box I can choose whether it applies to the whole table or just the current cell.