Select the photo you wish to border
and open it in Photoshop. Choose your marquee tool from your
toolbox, you may use either the square (rectangle) or the circle
(oval), depending on how you want your frame to look when finished.
Draw a selection around your photo. (Another option would be
to use the lasso tool to loosely draw a selection around the
photo, for a different look.)

Enter the Quick Mask mode by either pressing the letter Q on
your keyboard, or by clicking on the "Edit in Quick Mask
Mode" icon located on your tool palette underneath your
foreground/background colors. This ensures that only your selection
(now highlighted in red) will be affected by any filters you
run.

In this example we used the glass filter, but you may choose
to play with other filters to achieve a different look for your
own photo. Click on Filter>Distort>Glass and adjust the
settings to your liking.

Now exit the Quick Mask mode by pressing Q on your keyboard,
or by clicking on the "Edit in Standard Mode" icon.
You are now left with a selection around your photo, similar
to this.

To apply this selection as a border to your photo, you need
to invert it. Select>Inverse, and then press Delete. Select>Deselect
(Ctrl-D) to see your new border.

Try experimenting with different filters and effects, and see
what you can invent!