Sounds odd; are the gridlines visible in print preview?
It might be something to do with your printer driver and/or the colour of the gridlines - is the BorderColor property set to 0? - if not, certain printer drivers just say 'if it's not black, then it must be white' (not really, but you know what I mean)
The most effective way I've found of having gridlines on a report is to set the BorderStyle property of the text boxes in the report detail to 'Solid' and then butt the text boxes up against each other so that they join (you can fine-adjust the position of form or report elements by selecting them then holding down <Ctrl> and using the arrow keys)
Just one other thought; are you printing the report from Access, or exporting it as .RTF or HTML or something? - if so, this will be the reason that the gridlines are going missing.
Mike