Draw a rectangle on the page the full size of the page. Do this on its own layer, put the layer at the bottom of the stack, and lock the layer. Do it on a Master Page to set the background colour for multiple pages.
Are you intending to print a color onto the page to change the color or perhaps you need a colored background for onscreen output? Or are you planning on printing on already-colored stock?
For the former, use Scott's suggestion, for the latter edit the Paper swatch.