You mean white frame ? I think it's a part of 9-patch drawable you can look up how Theme.Dialog is build in the SDK_FOLDER\platforms\android-sdkversion\data\res\values
and then styles.xml and themes.xml
As i've said, the white frame is a part of the background image. its panel_background.9.png So if you want to change frame - you'll need different background image + need to overwrite in style setting it.
<item name="android:windowBackground">@android:drawable/panel_background</item>
and you'll need to define a style that will be derived from Theme.Dialog and have this
<item name="android:windowBackground">@drawable/your_drawable/item>
so if you put in styles.xml something like
<style name="NewBorderDialogTheme" parent="android:Theme.Dialog">
<item name="android:windowBackground">@drawable/your_drawable/item>
</style>
Put new drawable and set your activity to the new theme - you should see your new border