Shoutbox

The screen name colour and background is quite an easy one to set up.  You just need to go into the normal WLM options an to the right of where you write your nickname there should be a button that says "Format Codes...".  If you click this you will be able to select the colour for your name.  If you then click the T button you will be able to change to a gradient where you pick the two colours, one after the other and you can also select to change the background colours.

You can also insert the colour tags manually either by the old Messenger Plus! 3.xx style or by the following:
[c={colour code}]nick name here[/c] for a single colour text
[c={begining colour code}]nick name here[/c={ending colour code}] for a gradient colour text

[a={colour code}]nick name here[/a] for a single colour background
[a={begining colour code}]nick name here[/a={ending colour code}] for a gradient colour background

you can also use[b]
name[/b] for bold
[i]name[/i] for italicts
[u]name[/u] for underline
[s]name[/s] for strike-through

I hope this helps.  You can also use these tags in a normal conversation.