Currently there's no way to change the color of the image borders from the user interface. If you want to change the border color you have to manually modify the CSS file for the style that you are using (Dark or Light).

To to this make sure that the PhotoBox skin is selected, then from the menu select Tools > Open directories > Skin directory. This will bring up the PhotoBox directory. Now, find the directory called "styles". This directory contains the stylesheet files "Dark.css" and "Light.css" open up the style that you wish to edit in a text editor (like Notepad). Now you need to find the lines that describe the image border, for the Dark style they look like this:

#index ul.thumbnails li img {
	background: #fff;
}
 
#slide #main_img,
#index ul.folders li img,
#slide ul.thumbnails li img {
	border-color: #fff;
}

Here you can change "#fff" (white) to any color that you desire, but don't forget to save your changes afterwards. When you are done, just go back to the Jalbum application and remake your album. The images should now have the border color that you specified.