Box braids are also called square braids or round braids, and are commonly used with lanyards, leather, or other non-hair braiding projects. The simplest version uses 4 strands, although a similar concept can be applied with any even number of strands.
From a single angle, the box braid looks very similar to a dutch braid, but when viewed from the side, you can see that it has four separate braided faces, instead of the usual two.
For instructions on how to do a box braid, see the DreamweaverBraiding site here.
For more pictures of box braids I've done, see the Flickr set here.