First, what Desktop Environment or Window Manager are you using? RH9 comes with 2 DEs(KDE and Gnome) and at least 1 WM(Window Maker).
In KDE you right click on the title-bar of any window and choose "Configure Window Behavior" from the menu that appears. Then click on the 'Advanced' tab and enable 'Active Desktop Borders'.
If you're using Gnome... well, I don't use Gnome so someone else will have to help you there.
As a side note: Redhat desktop linux has been merged with the Fedora Project
so, if you like RH you should really upgrade to Fedora 2 or 3 as RH9 is outdated.