I found how to solve it. Just added a line in my CSS:
/* Customize tablesorter header border colors */
table.tablesorter thead tr th { border: 1px solid #000000; }
Also, as a tip, in order to avoid that the small triangles for sorting interfere with your column header text, add the following:
table.tablesorter th { padding-right: 20px; }
Excellent plug-in. Thanks!
JC