I followed this example to display my usercontrol inside Coding4Fun MessagePrompt. http://windowsphonegeek.com/articles/Creating-a-Windows-Phone-7-Trial-Application-Adding-B
I played a bit with the MessagePrompt control, it couldn't found any way to disable or hide the border. It's a shadow kind of effect in MessagePrompt control to provide a popup like appearance.
However, Eventhough you cannot remove it, you can reduce it's effect by setting the Width property of the MessagePrompt equal to your actual blue UserControl ( 300 in this case).