I've seen that fited to all mars spacecraft (MGS, MO, MEX, and now MRO) -
It MAY be to do with aerobraking - the HGA points away from the airflow during aerobraking, and I guess this cover helps tidy up airflow after it's gone around the 'back' of the dish
http://www.aerospaceguide.net/mars/mars_aerobrake.jpg shows it well
Or perhaps as someone mentioned here previously, it acts as a thermal insulator to stop the HGA acting as a massive radiator chilling the spacecraft. Perhaps it's for micro-meteorite protection acting as a very thing whipple shield.
Genesis, Stardust, Cassini, Ulysses, Voyager...DIDNT have it. MO, MGS, MO2K, MRO, MEX - all have. Must be a mars-specific thing.
First thing I thought when I saw the HGA being fitted was.. "Where's the cover?"
Doug