That's called the HUD (Heads Up Display).
The HUD consists of several sprites, they're stored in the pak0.pak file in the sprites folder. Search for a program called Sprite Explorer, it allows you to browse the pak files and view the sprites within.
Another thing to know is that in the same folder also some .txt files are stored, these hold sprite coordinates that the gamecode recognizes, so it picks the right part of each sprite to display, as several crosshairs and items and such are stored in the same sprite. It's some experimenting but yeah, you'll find out.
To change the HUD color or layout, you'll need to modify the game code. It's not so hard, some basic C/C++ knowledge is required but I found the HUD to be one of the most simple things in the code yet. Not that I'm so experienced though...