Windows 8 displays the windows in Desktop mode with a pretty thick border. The Advanced Appearance Settings dialog which could be used to change the border width in Windows 7 does not seem to be present in Windows 8!
Fear not, these settings can be changed in the Registry in Windows 8. Open the Registry Editor and navigate to
HKEY_CURRENT_USER\Control Panel\Desktop\WindowMetrics. The keys here that are related to the border width are BorderWidth and PaddedBorderWidth. The default value of BorderWidth is -15 and that of PaddedBorderWidth is -60. Change them to higher values to reduce the border width and vice versa. For example, I prefer to change both of them to 0 for a thinner border.
Tried with: Windows 8 Pro x64