I use Photoshop. The way I do it is:
- get the picture I want
- create a new empty white picture
- make the picture I want a new layer over the empty white one
- reduce the size of the picture layer all around until I have the border I want
- flatten the image
- create a new empty white layer beneath the image I have just created
- select the top layer (the picture with the border) and
1. move the bottom right corner up and in
2. put a thin black 'stroke' line around the layer
3. add a drop shadow to the layer
- flatten the image and save it
Other image editing packages will work in similar ways.
Remember the resulting picture needs to be 2^n by 2^m pixels where n and m are whole numbers.