I don't think that this is built into excel.
But a lot (a few???) printers can print borders (as well as watermarks). You
may want to check your printer to see if that's built in.
If it's not you could add borders to each sheet.
I would think the easiest way would be to:
View|Page Break Preview
(reduce the zoom factor--big enough to see, but small enough to see lots)
Then select the range on each page and format|cells|border tab|Outline.
Remember if you add/delete rows (or anything that will change the page
layout--like increasing the rowheight), you may have to redo your borders.
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How about another option: Use MSWord to print a bunch of sheets with just the
borders. Then adjust your margins in excel to stay away from those borders and
just print on to the sheets of preprinted forms.
(That sounds lots easier to me--if your printer doesn't support it.)