The key thing is that the item 'frame' is on a layer, doesn't matter if the item is a shape layer or a brush stroke added to a layer or smart object etc but the key thing is that is a layer that can be used with styles. You can't add layer effects to a pattern fill content etc but you can add them to smart objects. Also, you will need a selection of Photoshop styles and these can be found all over the web as well as on this site. You can, of course, simply use the layer with the layer menu and layer styles and create your own with shadows etc.
You can create frames in numerous ways such as using a basic rectangle shape filling the entire document and then creating another shape (layer) slightly smaller and then selecting both of them and going to the layer menu and combine shapes command and subtract option. That is probably one of the quickest ways.
You can also use a selection, simply select the part of the image you want to frame with the marquee tool and then go to the select menu and invert the selection and then fill the selection with white or black or solid color etc and then copy and paste and the result will be a layer on top of the image which can then be used as border. You can create a new document and fill the document with black and then select the rectangle tool and set the color to white and apply to the area you want to use as the frame and then select the entire image and then use the edit menu define brush command to save the stroke which can then be added to the original image in black or any color.
Another option could be to create a new layer on top of the original image and just apply a loose brush stroke around the image in black or white or any color or perhaps different dabs around the image (on the layer). There are clearly 1000s of other ways to create an edge effect and you can find many more examples on our youtube video tutorial pages (graphicxtras channel).
You can also check out our frame custom shapes as well as frame brushes for some ready made tools. You can also add more than one layer and use the same techniques to add more frames to that layer. If you want to convert it to a smart object, simply go to the layer menu and use the convert to smart object command and if the items is a smart object, you can add more than drop shadows etc as you can add smart adjustments and third party plugin effects such as blurs and thresholds and patterns as well as the native smart filters. Once you are happy with the artwork layer or layers, you can then simply add the style.
Select the required layer and then go to the styles panel and select one that you wish to use. If you wish to load new styles then go to the right side menu and use the load command (or replace). You can also go to the layer menu and layer styles and add a bevel or shadow as well as multiple drop shadows and glows and strokes if you are using the most recent version of Photoshop CC. As the item is a layer, you can shift the layer as well as re-size it and rotate it (though the results will depend on whether it is a raster item or vector shape)