It's a bug. Some people report that it was fixed by installing service
packs, others (like me) still have the problem.

Here's a thread that suggests a workaround.

http://groups.google.ca/groups?threa...606A%40msn.com



FuadsCurse wrote:
Why, when I click the double-underline border button, do I get a
single-underline border? If I go to the borders menu I can select the
double-underline and click the bottom border to make it work, but the button
isn't functioning properly. I've tried customizing my toolbar and removing
the button and putting it back, but I get the same result. Any thoughts?
This is driving me nuts.


--
Debra Dalgleish
Excel FAQ, Tips & Book List
http://www.contextures.com/tiptech.html