The easy answer is Windows_Pieces01.tga. There are several border pieces in that file, so I will also give the long answer.
In order to be sure that you have the right place, begin by looking in the EQUI_Templates.xml file, and search for the entry for WDT_Rounded. Under there, find the <border> tag. In there, all of the pieces are defined (bottom, top left, etc). These will be names of animations.
Next, look in EQUI_Animations.xml file. Search for the border piece from the templates file; in this case for example, A_RoundedFrameBottom. One of the tags describes the source texture file. In the default, this is described as Windows_Pieces01.tga.
I mention the long answer, because if you are using a custom UI, these may not necessarily be in the default locations. This means, you may can find custom templates and animations defined directly in the UI piece it is used in, so knowing how to track it down can be handy.
Below is samples from the default UI to illustrate what I am referring to.