Do you mean the doodad or the map setting fog?
In map options there's a way to change the tint, and there's a number of colors already on a drop down list for you.
For the doodad, just go to object editor and change the tints (have not tried this myself)
I guess he means in game (terrain)?
-> Map Options
-> Turn on 'Use terrain fog'
-> Select your color at 'color'.
-> to have your willing effect, play around with the Z start & end.