I’m at Windows and i’m having trouble to compile Vim source code.
Can any one recompile it without this ugly (3d) border?

It is located at the file src/gui_w32.c. At line 1476, change WS_EX_CLIENTEDGE flag to 0:
s_textArea = CreateWindowEx(
WS_EX_CLIENTEDGE,
szTextAreaClass, "Vim text area",
WS_CHILD | WS_VISIBLE, 0, 0,
100, /* Any value will do for now */
100, /* Any value will do for now */
s_hwnd, NULL,
s_hinst, NULL);
I think that will solve.
[edit]
Mutch better, ahh

By asking strangers on the Internet to compile a binary for you, you’ll be
Therefore, it would be much better to ask about the particular problem you’re having with the dev environment, compiler, etc.
Additionally, if you think that the UI should be improved in general, please submit your patch to the vim_dev mailing list. (In my GVIM, the border is there, but it’s not so pronounced as in your screenshot, and I quite like it that way.)