As Jeremy notes in his answer, iOS doesn't add separators above/below the headers/footers; you can just use a UIView to create a line yourself.
Here's the code to add a standard looking separator view to a header view:
CGRect sepFrame = CGRectMake(0, headerView.frame.size.height-1, 320, 1);
seperatorView = [[[UIView alloc] initWithFrame:sepFrame] autorelease];
seperatorView.backgroundColor = [UIColor colorWithWhite:224.0/255.0 alpha:1.0];
[headerView addSubview:seperatorView];
If you're trying to make it look like a normal table view cell, you probably need to add one at the top of the header view too.
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