that particular bit of your shell is the PS1 enviromental variable... you can set it like this:
CODE
export PS1="\[\033[01;33m\]\u@\h\[\033[01;34m\] \w $\[\033[00m\] "
Thats yellow with blue

If you like it then add the entry to the bottom of your "~/.bashrc" file..
Also I have a short howto hidden here
http://www.abdn.ac.uk/~fac075/?howtoNote that
\033 == ^[ .. i'll need to add that to my howto...