+1  A: 

I suggest you try setting the row style border color and border style properties as follow:

<RowStyle BorderColor="White" BorderStyle="None" />

Just FYI, on my page, setting the property GridLines="None" works. I noticed you already have that property set to "None", what version are you using?

Ricardo
The newest; 3.5 SP1 or whatever. Is there a chance that it's not respecting the property because it's nested inside another grid?
Robert Fraser
One thing I noticed is that you are using a DataGrid control instead of the GridView control, in my example, the GridLines property works but I am using the GridView control not the Datagrid.
Ricardo