Create a white border with a drop shadow in Photoshop. Using these basic techniques, it can easily be customized. Click on each image to see a larger version.
1) Open your photo in Photoshop
2) Resize image for the web. Uncheck “Resample Image” and change the DPI to 72. Re-check “Resample Image” then change the pixel dimensions to 600px on the longest side. (600px is kind of arbitrary, but I find it’s a good size for posting to the web).

3) Layer > Duplicate Layer (This layer is called “Background copy”)

4) In Layer Palette select the “Background” layer.

5) Image > Canvas Size. With the “Relative” box checked, increase the height and width each by 25 pixels.

6) Select > All (still working in the “Background” layer, there will be a dancing ant line around your image), then choose the Rectangular Marquee tool.

7) Right click on image and select “Stroke”

8) Choose 3px for the width, Black for the color, and check “Center” or “Inside” for the location

9) Right click and choose “deselect”
10) Back to the Layers Palette, choose “Background copy” layer

11) Layer > Layer Style > Drop Shadow

12) In the Drop Shadow dialogue box, adjust the angle, opacity, distance, spread and size to suit your preferences

There you have it! A border with a drop shadow: