There are a bit of a mystery to me, as I can't find much information about them anywhere. All I can find is this piece of information from cabe.org.uk:
The glass boxes used in the water feature in St. Martin’s Square [...] employed innovative techniques. The walls, structural supports and roof are all constructed from glass, requiring close collaboration with structural engineers, Dewhurst MacFarlane and Partners, and, as part of the design development, the construction of a full size mock up of the smallest cube.
Full article: http://www.cabe.org.uk/default.aspx?contentitemid=1114&aspectid=6
Each cube is a made of glass and contains a coloured light box which is illuminated at night. Water pours out the tops of the cube and runs down the sides. They are located in St. Martin's Square, outside Borders, Bullring.