You only need a single line of code to set the border around every cell in the range:
Range("A1:F20").Borders.LineStyle = xlContinuous
It's also easy to apply multiple effects to the border around each cell.
For example:
Sub RedOutlineCells()
Dim rng As Range
Set rng = Range("A1:F20")
With rng.Borders
.LineStyle = xlContinuous
.Color = vbRed
.Weight = xlThin
End With
End Sub