Blue is the normal windows colour which you can change by Display properties apperance tab
If you just want to change IE and WE, create a .bmp file in paint with the color you want. Size doesn't really matter, it will be tiled. 1x1, or 10x10 or 100x100 all work
In Regedit, navigate to this key:
Add these values:
For IE - BackBitmapIE5
For WE - BackBitmapShell
Set these values to point to the .bmp file, say %userprofile%\My Pictures\blue.bmp
This is a per user setting.
You can also use TweakUI to set these.