Look for .highslide img in your highslide.css file and set border to none.
If you created your gallery in the Highslide Editor, you will most likely have two instances of .highslide img in your highslide.css file. Make sure to edit the instance that appears near the bottom of the file. Editing only the one that appears near the top of the file will have no effect.
Highslide Support Team
Overview of my Highslide sample pages: RoadRash.no