Thats the loading window

You cant get rid of it. You can change it by using command lines when you start the engine. When you press the run button and the grey box appears, type -black and the loading screen will be black, if you dont type it then it will be while and grey. You can do other stuff to it if you have the proffesional edition, but i dont so i dont know much about that. So basically its either white or black.