The existence of a measurable set which is not determined can be proved using the Axiom of Choice (or even without it). Also, we know that $\{ \text{Borel sets} \} \subset \{ \text{measurable sets} \}$. My questions are:
$\bullet$ Does this mean that we may find a Borel set which is not determined as a consequence of the existence of undetermined measurable sets?
$\bullet$ If so, does not this contradict the Borel Determinacy?
$\bullet$ If the answers of the above questions are no, do we only mean an undetermined measurable set $\in \{ \text{measurable sets} \} \setminus \{ \text{Borel sets} \}$?
$\bullet$ If there is a Borel set which is not determined for any other reason different from the one in the first question, can any one provide me with a reason, an example or a reference?
PS: Any reference which discusses the above questions and includes an example would be appreciated.
You've pretty much answered your own question, so let me confirm: All Borel sets are determined (the proof is due to Martin ~1975), a measurable, non-determined set hence is not Borel.
As far as references go, what precisely do you want a reference to? The proof that Borel sets are determined is covered in Kechris: Descriptive Set Theory. I don't know, off the top of my head, a reference for a non-determined, measurable set.