Below are two screenshots. One is real, one is made up. Guess which one is the one actually found in Windows XP. (My apologies for the ClearType anti-aliasing which may look screwy on your monitor.)
See how in the first one, the boxes help you navigate horizontally so you can see which entries in each column line up with the corresponding entries in other columns? The reason you do this is because there tends to be whitespace horizontally (different items are different sizes), and because we're not as good at judging things lining up horizontally as we are judging vertically; so we can use the assist.
Before Windows XP, the background in this screenshot would have been all solid white.
Naturally, Windows XP implements the second one. Notice how in the first one, the horizontal edges extend through big open spaces where there's no other reference for where the edge would be. Notice how in the second one, the vertical edge extends down right next to the the line of 'comments' so it's obvious where the edge is anyway. (There are cases where they aren't there--'file size' for folders--but honestly, it's never a problem knowing which column you're looking at any way--you're unlikely to confuse a file size with a file date).
In fact, XP's approach is, for me, actively worse than no grey boxes at all--it tends to disrupt my ability to see which things in the rows line up, instead drawing my eye to move up or down vertically. No sign of a tweakUI or anything to disable it, but if anybody knows, please let me know ASAP. I honestly cannot imagine what the hell whoever did this was thinking. I can't see any useful purpose it serves. ("Highlight the important part so novices won't be confused by all the other stuff" maybe?)
On the other hand, holy cow, I love ClearType (although it's still not quite there).