How do I change my Vim highlight line to not be an underline?

color desert
set cursorline
hi CursorLine term=bold cterm=bold guibg=Grey40

desert is your colorscheme.(should come first)
put it in your ~/.vimrc

for a style similar to the one you get in gvim in the terminal, preserving the syntax highlight:

" first thing is entering vim mode, not plain vi
set nocompatible
" force 256 colors on the terminal
set t_Co=256
" load the color scheme before anything
colorscheme darkblue " or desert... or anything
" the syntax cmd is when the colorscheme gets parsed, i think..
syntax on
" might not be on by default, this enable the cursor line feature
set cursorline

" set the prefered colours, pick one line here only.
" dark grey, better you can get if you don't support 256 colours
hi CursorLine   cterm=NONE ctermbg=8 ctermfg=NONE
" light grey, no 256 colors
hi CursorLine   cterm=NONE ctermbg=7 ctermfg=NONE
" dark redish
hi CursorLine   cterm=NONE ctermbg=52 ctermfg=NONE
" dark bluish
hi CursorLine   cterm=NONE ctermbg=17 ctermfg=NONE
" very light grey
hi CursorLine   cterm=NONE ctermbg=254 ctermfg=NONE
" yelowish
hi CursorLine   cterm=NONE ctermbg=229 ctermfg=NONE
" almost black
hi CursorLine   cterm=NONE ctermbg=234 ctermfg=NONE

This works better (in every terminal) for me.

:hi CursorLine   cterm=NONE ctermbg=darkred ctermfg=white

It is setting of color for terminal: background color - ctermbg, and text color - ctermfg. For using in graphical window, add parameters guibg=darkred guifg=white

You can highlight the corresponding column as well, using the command:

:set cursorcolumn

It is useful to toggle highlighting on and off by pressing one key in the editor. Add these line to your vimrc:

:nnoremap H :set cursorline! cursorcolumn!<CR>

typing 'H' will toggle highlighting on and off (Map it to another key if you want)

You can find more info in the article: http://vim.wikia.com/wiki/Highlight_current_line