Changing the little scrolling thingy

Omg so I need to like also update my blogs theme (if that's even possible) but like how do I change my main pages scrolling thingy----

--- so like you know how at the side of the page there's this greyish rectangle that tags along as you scroll?? yeah that's totally ugly and I need to change it but like how???? I've stalked other ppls pages and they could !! ---

anyway probs screaming into the void but yeah--how do you change the ugly gray bar