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You want to make frames around your photos like in the link?
Which photo gallery module are you using?
Most modules' appearance can be modified by looking at and modifying the contents of their templates.
Go to admin>system>templates>(your template set)>
and look at the templates for the module you want to change there.
It is often suggested that you 'clone' (duplicate) a set on which to work, rather than mess around with the default set. You will have to select this new 'cloned' set of templates in admin>system>preferences>General-Settings to see any changes. Also, while you're there, select 'Yes' on "Check templates for modifications ?"
CSS files can be found in the CSS folder of your theme.
Happy hacking
Never let a man who does not believe something can be done, talk to a man that is doing it.
