“I was just informed that as an employee of Borders book stores I could no longer return books without a receipt. They allow this with other customers, can they treat me differently (as a customer) than any other customer?”

Yes, of course they can. How many times have you seen disclaimers on sweepstakes, for example, saying that employees of the company are not eligible to enter the sweepstakes? Even when purchasing a product from your employer, you are different from any other (non-employee) customer - that is why you are able to get an employee discount. It’s very easy to imagine why a retail employer would implement such a policy - how easy would it be for an unscrupulous employee to help themselves to a number of books, and then “return” them all for a refund, if no receipt were required?

Recommended reading (click on the picture for details):
The Employer's Legal Handbook