You need to set the specific border colour. In your case, linkbordercolor={0 0 1} where the default is linkbordercolor={1 0 0} (or red in the RGB model).:

\documentclass{article}
\usepackage{color}% http://ctan.org/pkg/color
\usepackage[linkbordercolor={0 0 1}]{hyperref}% http://ctan.org/pkg/hyperref
\begin{document}
\begin{equation}\label{a}
x
\end{equation}
\ref{a}
\end{document}
Alternatively, loading xcolor provides the regular "named" colours, allowing one to use
\usepackage[linkbordercolor=blue]{hyperref}% http://ctan.org/pkg/hyperref
Different colours can be used for different hyperlinks. hyperref provides
citebordercolor (RGB colour) with default {0 1 0}: The colour of the box around citations
filebordercolor (RGB colour) with default {0 .5 .5}: The colour of the box around links to files
linkbordercolor (RGB colour) with default {1 0 0}: The colour of the box around normal links
menubordercolor (RGB colour) with default {1 0 0}: The colour of the box around Acrobat menu links
urlbordercolor (RGB colour) with default {0 1 1}: The colour of the box around links to URLs
runbordercolor (RGB colour) with default {0 .7 .7}: Colour of border around ‘run’ links
allbordercolors (RGB colour): Set all border color options
See the hyperref documentation (specifically, section 3.6 PDF-specific display options).
hyperrefdoes not provide an interface, AFAIK. For example, there are many border-specific changes one can implement, as suggested in section 8.12 Entries in a border style dictionary (p 495) of the PDF Reference 3rd Ed. Don't know whether PDF specification provides a fill or not. Heiko Oberdiek might be able to elaborate on that. – Werner Aug 16 '12 at 18:21xcoloris loaded, the normal color specifications can be used for the*bordercolors:linkbordercolor=blue(sincehyperref2007-04-09 6.76a). – Heiko Oberdiek Aug 16 '12 at 20:14