This will require some steps. First we need to turn off the GridLines in the DataGrid so we can get "Gap Cells". We will leave the GridLines to the DataGridCells instead. We also have to specifiy a GridLinesBrush. We can't create a "DataGridGapColumn" Style for a DataGridColumn since it doesn't derive from FrameworkElement so we will have to settle for a GapCellStyle and a GapHeaderStyle. Then we can create a "DataGridGapColumn" like this
<DataGridTextColumn Width="100"
CellStyle="{StaticResource DataGridGapCell}"
HeaderStyle="{StaticResource DataGridGapHeader}"/>

Example with some Columns and Gap columns
<DataGrid x:Name="dataGrid"
GridLinesVisibility="None"
HorizontalGridLinesBrush="Black"
...>
<DataGrid.Resources>
<!-- Regular Cell Style -->
<Style TargetType="DataGridCell">
<Setter Property="BorderThickness" Value="0,0,1,1"/>
<Setter Property="BorderBrush" Value="{Binding ElementName=dataGrid, Path=HorizontalGridLinesBrush}"/>
</Style>
<!-- Gap Cell Style -->
<Style x:Key="DataGridGapCell" TargetType="DataGridCell">
<Setter Property="Background" Value="{Binding ElementName=dataGrid, Path=Background}"/>
<Setter Property="BorderThickness" Value="0,0,1,0"/>
<Setter Property="BorderBrush" Value="{Binding ElementName=dataGrid, Path=HorizontalGridLinesBrush}"/>
</Style>
<!-- Gap ColumnHeader Style -->
<Style x:Key="DataGridGapHeader" TargetType="DataGridColumnHeader">
<Setter Property="Background" Value="{Binding ElementName=dataGrid, Path=Background}"/>
</Style>
</DataGrid.Resources>
<DataGrid.Columns>
<DataGridTextColumn Header="Header 1" Binding="{Binding Header1}"/>
<DataGridTextColumn Width="100" CellStyle="{StaticResource DataGridGapCell}" HeaderStyle="{StaticResource DataGridGapHeader}"/>
<DataGridTextColumn Header="Header 2" Binding="{Binding Header2}"/>
<DataGridTextColumn Header="Header 3" Binding="{Binding Header3}"/>
<DataGridTextColumn Width="50" CellStyle="{StaticResource DataGridGapCell}" HeaderStyle="{StaticResource DataGridGapHeader}"/>
<DataGridTextColumn Header="Header 4" Binding="{Binding Header4}"/>
<DataGridTextColumn Header="Header 5" Binding="{Binding Header5}"/>
</DataGrid.Columns>
</DataGrid>
Update
You could put the Styles in a ResourceDictionary or in Window.Resouces. Example
<Window.Resources>
<Style x:Key="DataGridGapStyle" TargetType="DataGrid">
<Setter Property="GridLinesVisibility" Value="None"/>
<Setter Property="HorizontalGridLinesBrush" Value="Black"/>
</Style>
<!-- Regular Cell Style -->
<Style TargetType="DataGridCell">
<Setter Property="BorderThickness" Value="1,0,1,1"/>
<Setter Property="BorderBrush" Value="{Binding ElementName=dataGrid, Path=HorizontalGridLinesBrush}"/>
</Style>
<!-- Gap Cell Style -->
<Style x:Key="DataGridGapCell" TargetType="DataGridCell">
<Setter Property="Background" Value="{Binding ElementName=dataGrid, Path=Background}"/>
<Setter Property="BorderThickness" Value="0,0,0,0"/>
<Setter Property="BorderBrush" Value="{Binding ElementName=dataGrid, Path=HorizontalGridLinesBrush}"/>
</Style>
<!-- Gap ColumnHeader Style -->
<Style x:Key="DataGridGapHeader" TargetType="DataGridColumnHeader">
<Setter Property="Background" Value="{Binding ElementName=dataGrid, Path=Background}"/>
</Style>
</Window.Resources>
<Grid>
<DataGrid x:Name="dataGrid"
Style="{StaticResource DataGridGapStyle}"
AutoGenerateColumns="False"
ItemsSource="{Binding MyCollection}">
<DataGrid.Columns>
<DataGridTextColumn Header="Header 1" Binding="{Binding Header1}"/>
<DataGridTextColumn Width="100" CellStyle="{StaticResource DataGridGapCell}" HeaderStyle="{StaticResource DataGridGapHeader}"/>
<DataGridTextColumn Header="Header 2" Binding="{Binding Header2}"/>
</DataGrid.Columns>
</DataGrid>
</Grid>