Now that you have provided more info, I can see that your question title does not match what you asking to change. You are not asking to change the color of the border of the Wizard Control, you are asking to change the color of the WPF Window.
It takes some time to get things right, and I highly discourage doing this if you app will be used by people with disabilities, who need high contrast, who customized their desktop to a certain color because of color blindness, and the list goes on...Microsoft has worked very hard to address such issues with the defaults.
BUT...you can change this by restyling your Window Style. You can find plenty of code examples.
Here are two:
Can i set the window border color in WPF?
How can I style the border and title bar of a window in WPF?