If you are using prettyPhoto, theres an option to change the theme, so you can find the one that suites you best.
When it comes to the thumbnail border, it would be best if you provided a link to your site, and described precisely which border you want to change / remove.
How to Get Support
After you register and login to the site, you may post all plugin support questions in the Support Forum.
If you need to provide private info, please create a ticket and then reply to it using Set as private reply option.