Step 1: After you log in, click on Calendars (brown box below).

The Your Calendars page will open.

Step 2: Choose the calendar you wish to modify (brown box below).

Step 3: Click on Design (brown box below).

Step 4: Scroll down and click on Frame and cells (brown box below).

Step 5: Scroll down until you find the header Cells border color.

If you don't choose a color, the default color is white.

Use the Custom color picker to choose your cell color [arrows in image above].

If you are not yet familiar with how this works, here is the walkthrough.

In the example below, we chose an orange color for the borders.

Click Save at the bottom of the column to save your changes.