You are referring to the "frame" and it can be either .gif, .png 8 or .png 24 with the latter your best option.

Here are some samples to play with scene viewer sized at 640x480 PNG-24 "Frame Image" Mask

Right Click the above and "Save Image" and test in your own project by follow the same size dimensions.
In use below (well for this demo anyway)

PNG-24 with Edge Boarder

Right Click the above and "Save Image" and test in your own project by follow the same size dimensions.
See in action http://www.smooth360.info/frame_mask_demo
Regards, Smooth 
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