Paint Shop Pro v7 » Border shapes
Let's start with a big empty PSP sheet. Open the background picture and paste it over to the empty sheet. If you have no clue about what I’m talking about, have a look at the “layers” tutorial.
Then choose the tool called “preset shapes” in the left tool bar:
In the tool options box, choose the shape you want the border to have, the line with and the line style. And most important, hook the box “create as vector”. It's a good idea to hook the anti-alias-box too if you are using any other shape than square.
I chose shape hexagon, line width 1 line style regular line and the “create as vector”. Now, create the border by dragging and dropping the box on your picture.
You can change the size by clicking on the little square on the line around your border then drag it wider or narrower. (red arrows) and you can rotate the shape by clicking on the little box inside the shape and pulling it up or down (blue arrow)
Now, go to “layers” in the top tool bar, and choose “convert to raster layer”. Now you have a new layer with a border on. Yeey. So now you got to get rid of the background that is outside the border. You could erase it with the eraser brush, but that would take a lot of time. So we choose another method. Choose the “magic wizard” tool in the left tool bar 
, choose feather 2 in the tool option box.
Now, click outside your border. You should now have a dotted line around your border.
Go to “layers” in the top tool bar, and choose the background picture’s layer. Then press delete on your key board. If there is “background stuff” outside the border, press delete a few more times. The background outside the border is now gone. If it’s not, you didn’t choose the right layer. So try again. If there are small unwanted leftovers from the background, erase them with the eraser brush.
If you want a horse inside the picture, kind of jumping out of the picture, you have to place the horse on your picture the same way you did with the background, but if you want the front legs e.g. outside the picture, you have to place the horse above the border layer and use the eraser brush to cut of the unwanted stuff. Before:
After:
Choose the bottom layer, and colorize it with hl purple or blue (horse: #BB88BB, dog: #99CCFF)
The result is:
If you want a shadow around the background, choose the background layer and add a shadow like explained in the “shadow and glow” tutorial :)
If you want a double circle or octagon or whatever, you add one more shape, and use the eraser brush to erase lines you don't want.