Not in Word. The only way to make a rounded "border" is to draw a rounded
rectangle on top of the table. While the border between rows is no problem,
the shading of the top row is because it will extend to the corners of the
cells, outside the rounded "border." While it would be theoretically
possible to create a second rounded rectangle, filled with the shading color
and place it behind the text, the bottom of it covered by a white rectangle
to cut off the rounding on the bottom, trying to keep all these drawing
objects aligned with a table would be a formatting nightmare. I suspect
you've seen this sort of formatting created in FrontPage or another Web
layout application, but it just isn't practical in Word.