In the Tables command area (older Word: Tools menu; Word2007: Table
Design tab, when cursor is in the table), find the Borders command.
It's probably easiest to use the diagram at the right of the panel
that appears -- be sure it's set to affect "Table" and click above or
below the center of the diagram. This should turn on the internal
vertical rule, and when you ok out of the panel, it'll appear in your
table.