The rotator module uses a skinning engine to apply styles. As an example a default skin has been provided. This skin is responsible for styling of the images.
You can find this skin in the directory /desktopmodules/Rotator/Skins/Default
You can style the module using these skins or you can use the page skin. If you would like to de-activate the module skin simply set the skin name to "None" in the module settings. Please note that this will de-activate all the module's styles including the controls so you will need to implement the apropriate css classes in your page skin.
Update: In newer versions of the
content rotator module for DNN we have set the default skin to be more nutral and have removed the gray borders around images.