Seems to work fine in FF and Chrome (haven’t tested any others) with separate borders: http://jsfiddle.net/7veZQ/3/
Edit: Here’s a relatively clean implementation of your sketch:
table {
border-collapse:separate;
border:solid black 1px;
border-radius:6px;
}
td, th {
border-left:solid black 1px;
border-top:solid black 1px;
}
th {
background-color: blue;
border-top: none;
}
td:first-child, th:first-child {
border-left: none;
}
<table>
<thead>
<tr>
<th>blah</th>
<th>fwee</th>
<th>spoon</th>
</tr>
</thead>
<tr>
<td>blah</td>
<td>fwee</td>
<td>spoon</td>
</tr>
<tr>
<td>blah</td>
<td>fwee</td>
<td>spoon</td>
</tr>
</table>