It's drawn with the "draw_actor_hp_gauge" method in the Window_Base class.
How do you want to change it?
[ edit ]
Opps, I missed the word "colour" in the title.
Open the file Graphics\System\Window
Down in the lower right corner are a bunch of colors.
Start counting them. (start with 0)
The 4th color in the 3rd row is a dark blue-grey. That's color #19 and gets used for the background of the guages. The colors are as follows:
gauge_back_color = (19)
hp_gauge_color1 = (20)
hp_gauge_color2 = (21)
mp_gauge_color1 = (22)
mp_gauge_color2 = (23)
Change those colors on the color chart, and they will be used for your guages.
Those colors don't get used for anything else, so it won't mess anything up.
Be Well