An Example
Your probably wondering what I consider, "cool borders" are. Well, here's an example (this one's on an avvie, but you can use this for pretty much anything).
Before:
After:
^^ As you can see, it's a thick see through kind of border =)
The steps
1. Open up the graphic you want to make the cool border on in Paint Shop Pro
2. Layers >> New Raster Layer. Name it "border", press OK
3. Selections >> Select all
4. Selections >> Modify >> Contract. Set the number of pixels to 3-5
5. Selections >> Invert
6. Click on the Paint Brush tool
7. Set the color to anything you like (white is probably the best)
9. Color around the image with a big default brush until you have a solid-colored border.
8. Look at your layers palette (to your left). If it's not there, press "F8" on your keyboard.
9. On the "border" layer, to the right of it you should see a drop-down list that says "Normal". If you don't see it, make your layers palette wider (click on the very left of it and drag to the left) until you see it.
10. Click on the drop-down list that says "Normal" next to the "border" layer and change it to "soft light".
11. If you don't see the border very well (most likely), duplicate the "border" layer by right clicking on it on the layers palette and clicking "duplicate".
12. If it's still not enough, duplicate the original "border" layer again.
13. Save.
Done!