There is a great tutorial on how to turn photographs to pictures.

Basically it is the following:

1) Create the photo-border by creating a rectangle shaped gradient
2) Create a selection that is 4 pixels less than the gradient … this is where the photograph will go
3) Open your photograph of choice and shrink it down a little bit so that it will fit into that selection
4) Save selection
5) Select “ALL” on the photograph, and COPY that selection
6) On the photo-border, load up the selection if its gone, and (HERE’s the KICKER) Edit –> Paste into selection
7) This will create an automatic mask! Adjust the photograph position
8) Then create another layer (transparent)
9) You should have three layers: 1) the photograph mask layer 2) rectangle shaped gradient 3) the new transparent layer(which is new)
10) You now need to create the shadow in the new layer
11) Load up that selection that you saved, and on the “PATHS” tab, click on the small arrow, and click on “make work path”
12) Click on the Pen ICON and stretch the corners of the work path so that they appear like the shadows around corners
13) right click path and say “Make selection”
14) Select “feather 4pixels”
15) Then fill the selection, but select that last transparent layer first, so that you can fill it with this “shadow”.
16) Arrange the Mask and the rectangle shaped gradient on top of the shadow layer — and voila!