This isn't hard. Edit collapso-5-NestedBoxes.css (in your Site folder) using a text editor, e.g. Notepad (which is, in XP, on Start / Programs / Accessories).
Look for the line
background: #CCC;
and change to
background: #rrggbb;
where rr gg bb all range from 00 to ff - they're hexadecimal numbers (0-9 then a-f) (e.g. 000000 - black, ffffff - white, ff0000 - red.
There are also two instances of
border-color: #AAA #666 #666 #AAA;
and
border-color: #FFF #AAA #AAA #FFF;
They are the colours to use around the border of the overall menu and each sub menu. These 4 numbers represent respectively the top, right, bottom, left.
Change one thing at a time and preview to see how it looks before changing anything else.