Edit the sidebar image.  Change the colour, and save it  as sidebar_background.gif, in your_theme/graphics.  

Edit two_sidebar_background.gif and replace. Zoom the image for a proper view.

Hi friends, this post is lucky getting so many prompt replies, and I am thinking which Grey side bar you guys are talking about? Is this in the elgg default theme? Please someone give me a screen shot or demo 

Many thanks in advance

@kisssssss4ever: you don't need a screenshot. Simply look at the "grey background" of the sidemenu here on the site. :)

Thank you all, I finally got it.  I downloaded the image from graphics and edited the grey bar to the color of my choosing and uploaded it back to the graphics.  I had to change the two_sidebar_backgroud image.