You need to overwrite the css class that is causing the dashed border. First, determine which dojo theme you are using. In that picture above it looks like you might be using the newest theme, Claro. If that is the case, the offending css is located in the file:
/dojox/grid/enhanced/resources/claroEnhancedGrid.css
This is the css creating the dashed line:
.claro .dojoxGridCellFocus {
border: 1px dashed darkblue !important;
}
My recommendation is to create a new stylesheet to override the one provided by dojo. In that stylesheet place the following code:
.claro .dojoxGridCellFocus {
border-width: 1px !important;
border-style: solid !important;
}
That should get you what you want.