Datagrid Border showing when I say no border

[tshad]

I have a DataGrid:

<asp:DataGrid AllowPaging="false"
AllowSorting="True"
AutoGenerateColumns="false"
CellPadding="3"
CellSpacing="0"
ID="DataGrid1"
runat="server"
ShowFooter="false"
ShowHeader="true"
OnSortCommand="SortDataGrid"
border="0"
style="margin: 5px 5px 5px 5px; padding: 5px;"

This shows no border. The problem is the border shows anyway.

Also, if I change the border to "3", the outside border changes, but not the
lines around the cells. Why is that?

Thanks,

Tom