Your question has two parts.
You're right, the cart's not Zen Cart, but the effect can be achieved in Zen Cart. Your would do so by styling the links in your stylesheet. The exact CSS will vary from design to design, but something like this is a reasonable example> #informationContent a {
display:block;
width: 100%;
padding: 2px;
border: 1px brown solid;
border-top: none;
}You would probably need to do this sidebox by sidebox as unfortunately there are several different ways of building them (e.g. are are built as unordered lists, others as link lists serarated by <br> tages), and some contain links that you certainly wouldn't want to style this way.
To get rid of the links in the bottom of the categories box, go to Admin > Configuration > Layout Settings and set "Categories Box - Show Specials Link" etc to false. If you set all four like this, these <hr> will disappear too. If you want to turn of the <hr> separately, set "Categories Separator between links Status" to 0.