I installed MobileJoomla correct and the website is running fine in Mobile Mode. But I can't seem to find where exactly to change the color of mj_pda_header etc... (text, link & background color). The same problem for the content display.

Can anyone give support?

If you can view the site in Firefox using either pda.yoursitename.com or a user agent switcher then firebug can be helpful for finding which css code is controlling the piece you need to change.
help.joomla.org/files/joomla_firebug_tutorial_part1.swf is a very useful tutorial and although it is not the current version it gives techniques which allow you to see what css is doing and change it on the fly without changing your site. There is a second part to this tutorial at
help.joomla.org/files/joomla_firebug_tutorial_part2.swf

Thanks for your support! I have managed it to customize the theme

Well done. Thanks for posting the result.

PS. I should have added some advice about protecting the changes when you upgrade MJ.
You can either apply the changes again or,
using FTP not the backend of Joomla, you can make a copy of the folder mobile_pda in templates and call it for example my_mobile_pda.
Then in the backend of Joomla
components > k Mobile Joomla > settings then the smartphone (xhtml) tab >
template name and choose my_mobile_pda from the drop down.
(If the upgrade of mobile joomla affects the templates then you will need to update my_mobile_pda by hand.)

thanks for the additional information!

Thanks, you are welcome.