Not sure if I completely understand what you're asking, but let me take
a stab at it...  You have a four-column page layout that is not a table.
 You don't want a heading at the top of every column.  You want a
heading before the first item of each group (i.e., every time a new
group listing begins).  You want some kind of border around the heading.
 Correct?  If not, forget the rest of my reply.  If so, read on...

Select the paragraph that you want to turn into a Group Listing heading.
 Click on Format | Borders and Shading | Borders tab.  From here, you
can apply one of the standard borders (box, 3D, shaded, etc.) around the
selected paragraph, or you can create a custom border around the
selected paragraph using the various line styles.  You can use different
line styles on different sides of the border if you want, and you don't
have to put a border on every side if you don't want (for instance, I
usually prefer a top and bottom border, but no left or right border).
If you so desire, you can also add shading to the selected paragraph by
clicking on the Shading tab.

Does this answer your question?