There used to be settings to control this that were easily accessible. No more! Microsoft took those controls away.
Fortunately, you can still use the Registry Editor to control your border widths (as of January 2020). The setting names have changed since Windows 8, though, so older guides to solve this problem don't work any more.
Set a Color
Before setting the width, let's make sure we can see the border. Fortunately, this is still a user-accessible setting, though it's buried in a spot you wouldn't expect.
From your Windows Start menu, select Settings (the Gear-shaped icon).
From Settings, choose Personalization.
In the Personalization Settings, choose Colors.
We need to do two things here. One is to turn on accent colors for title bars and window borders (the bottom red box in my image), and choose a good color for those accents. Mine was set to the light blue by default, I changed it to dark blue on the palette inside the upper red box:
Change the Margin Width
In your windows search bar, type 'regedit'. You'll usually get the Regedit app listed in results by the time you've typed in 'reg'. Click that to start the app. Then, once in Regedit you want to select HKEY_CURRENT_USER to get its drop-down, then "Control Panel" in that drop-down, then "Desktop". In succinct form:
HKEY_CURRENT_USER->Control Panel->Desktop.
In the right pane, you will see two settings that start with FocusBorder. These are the width and height settings for the window you're currently focused on on the desktop. By default, Windows 10 has these set to 1. Which is pretty much invisible, especially on a 4K or other high resolution display. Fortunately, you can watch the changes directly on your regedit window to see how your chosen settings work. Double click on the value name to change it--a dialog will come up with a box that lets you set the value. By default, it is looking for a hexadecimal (base 16) value. If you don't want to deal with that, click the button on the right to have it read a decimal value. Click OK to set the value.
Once you have a size set that you like, you can quit Regedit and your settings will remain. You don't have to relogin or reboot to make the change. Now whatever window is your current window will have a wider border that you can see.
On my 4K display, I found the border became reasonably visible with a value of 16 (10 in hexadecimal). It wasn't too hard to grab with touchpad or touchscreen, but I widened it up to 32 (20 hexadecimal), and it was much easier to see and to manipulate. I could easily see setting it to 50 or 60 (in decimal) if I wanted it to be more easily visible.
I hope that helps you solve your problem. If you have any problem with these instrusctions, leave a comment or drop me a note at saundby at gmail.