How to set borderstyle of a datagridview column at runtime (.Net Framework 4.0)?

I have a readonly datagridview that is bound to a datasource. It has two columns. Now I want the first column to have no cell borderstyle; and the second one to have 'All' (i.e. all sides of the cell shall have a border) as cell borderstyle. Before binding the datagridview to the datasource, I'm writing something like mentioned below but it's taking no effect. Assume the column in question is named DisplayName.

Code:

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With newStyle
.Top = DataGridViewAdvancedCellBorderStyle.Single
 .Left = DataGridViewAdvancedCellBorderStyle.Single
 .Bottom = DataGridViewAdvancedCellBorderStyle.Single
 .Right = DataGridViewAdvancedCellBorderStyle.Single
End With

DisplayName.CellTemplate.AdjustCellBorderStyle(newStyle, newStyle, True, True, True, True)

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Please rectify or suggest a better way. Regards.

Code:

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Private Sub dgvLegends_CellPainting(ByVal sender As Object, ByVal e As System.Windows.Forms.DataGridViewCellPaintingEventArgs) Handles dgvLegends.CellPainting
        'Draw custom cell borders.
        'If current column is DisplayName...
        If dgvLegends.Columns("DisplayName").Index = e.ColumnIndex AndAlso e.RowIndex >= 0 Then
                Dim Brush As New SolidBrush(dgvLegends.ColumnHeadersDefaultCellStyle.BackColor)
                e.Graphics.FillRectangle(Brush, e.CellBounds)
                Brush.Dispose()
                e.Paint(e.CellBounds, DataGridViewPaintParts.All And Not DataGridViewPaintParts.ContentBackground)

                ControlPaint.DrawBorder(e.Graphics, e.CellBounds, dgvLegends.GridColor, 1, ButtonBorderStyle.Solid, dgvLegends.GridColor, 1, ButtonBorderStyle.Solid, dgvLegends.GridColor, 1, ButtonBorderStyle.Solid, dgvLegends.GridColor, 1, ButtonBorderStyle.Solid)

            e.Handled = True
        End If
    End Sub

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