I have a question how do I change the default orange colour of the flashing window on the taskbar.  Like for example if someone sends me a message via msn or yahoo or something the window flashes a orange colour.  How do I change the color?

Actually that flashing colour isn't specified by WLM. That's the windows  notification colour. Any window trying to get your attention will flash the same colour on the task bar. You could change it by changing your windows skin, which is a whole different can of worms.

I do not want to change the skin though, I just want to change flash on taksbar.

Yes, I do know what you mean, however, the orange flashing colour is hardcoded into the visual style. You cannot change it without modifying the Windows visual style.