If you are talking about the light blue border surrounding the whole combobox(button and text). You can achieve this by setting the property "Combobox.border" in the UIManager to either null or another border.
If you want to look further at the subject you can take a look at javax.swingx.BasicComboBoxUI. This is where the border is installed in the first place. Search for the method "installDefaults", which uses a static call to javax.swing.LookAndFeel to install the border.
Egil
2009-08-28 12:42:45