If you are using Photoshop......
Step 1 : Create a document with transparent background. Draw a rounded rectangle using the respective tool . Click on the white box of the layer in layers pallet, Holding Ctrl key to select the document . Create a new layer , and fill it with any color (you may change it anytime in future).
Step 2 : Select > Modify > Contract . Contract by the amount you desire the thickness of the border, apply the contract, and hit delete . You will get the shape of the border.
Step 3 : Now the styling . Click on "fx" below layers pallet, and select "blending options" . Apply drop shadow to the extent you want, for coloring, you may do it using color overlay or gradient overlay; and finally, you are to apply bevel and emboss. In the next screenshot, it is a setting of a good bevel and emboss, but you may change the figures to anything at your like, to suit the design.
Nick taught me how to do it corel draw, and I substituted his guidelines for photoshop
An excellent set 
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