Windows 8: Go to Control Panel > Personalization > and look at the bottom of this window under 'color' (don't look at themes, but below the theme options there are 4 choices) and click this 'color' link.
You'll see a bunch of color boxes but below this is 'Show color mixer' and click on this. There you can make your own color. Be sure to save changes. Where it said 'color' before it will now add 'custom'.
Windows 7: is in a similar location (same: in theme options window), but after choosing 'Window Color' you will have to select the 'Active Title Bar' to change it's color (if using Windows 7 Theme).
These could be different for other themes, you figure the rest out, hope this helps and thanks for your question as after changing my theme it left me with a bright yellow border around the Opera window, not too cool for me.
