This is an advanced topic and the answers can fill a book.
In fact it has filled books...
You may be able to make some progress by implementing MFC themes.
You can see these in action by using the wizard to create an MFC application, with themes enabled.
Or you can try this article for starters:
A Customized Window for MFC Applications
If that doesn't get you what you want, then Microsoft puts the source code for MFC in the install directories. you can copy the portions of the code that you wish to modify to your project. Repair the build errors and then customize that code.
Once you get out on the bleeding edge of development in this fashion, you'll likely be on your own. Not many people have a need to do this, so likely won't find much help. I personally haven't needed to do this in over a year and have no examples on hand.
In my applications, it's typically the doc template code I find necessary to modify, not the window frame styling.
Good luck. This isn't really a beginner topic...