I don't understand why you need to use :after but if you just want to change border and background-color you could just do this way
first you need to specify the border
.breadcrumb li:nth-child(2) a {
background:green;
border-left:"3px solid green";
}
and so, in your click event
$("#CONFIGURE_POLICY_li").click(function () {
$(".breadcrumb li:nth-child(2) a").css({background:"none repeat scroll 0 0 red", borderLeftColor:"blue"});
});
hope it helps, if don't, please let me know.
EDIT --------------------------------------------------------------------------------------
Ok, now i understood what is your problem. It's because you are using :after what do not create an "element" in the DOM(so it don't have a style attribute), but just draw something after the specified element,.
so what you could do is add a css rule to your style
.breadcrumb li:nth-child(2) a.special { background:green }
.breadcrumb li:nth-child(2) a.special:after { border-left-color:green; }
and so in you javascript you could do
$("#CONFIGURE_POLICY_li").click(function () {
$(".breadcrumb li:nth-child(2) a").addClass("special");
});