Like http://stackoverflow.com/questions/316161/how-do-i-change-colors-for-the-f-interactive-shell, but Visual Studio 2010 (RTM) this time.
I tried changing the "Read-Only Region" background color, restarted visual studio and the background color isn't the one I picked.
This is a lot simpler now :-). There are a few new items for directly setting the colors used in the F# Interactive window in Visual Studio 2010 RTM.
You can select F# Interactive in the Shows settings for drop-down on the Fonts and Colors tab in the Options dialog (When you open the dialog, he selected item in the drop-down is TextEditor and for most of the things, you don't need other items, so this is a bit tricky to find).
There you can change background color of Plain Text to change the color of the window (and there are a few other things that you can change too).