It has been a while since I did this one, but I'll share what I can remember. Even better, I'll try to dig up the links to some of the tutorials that I used. . . Stay tuned.

Ah, that was quicker than I thought:

http://www.flickr.com/photos/28466683@N00/sets/72157594146002408/

http://www.panosfx.com/index.php?option=com_content&task=view&id=107&Itemid=27

For this specific image I erased the BG and then created a new layer.
On the new layer I made a selection the size of the outer edge of the frame and filled it with a solid color. Then I contracted the selection to the inner edge and deleted it.

I played with colors and textures for the frame itself.
Then I erased the portion of the frame the was over the snoot to make it look like it went behind. I found it helpful to use a soft edge and lower opacity at the point where the frame "goes behind" the dog.

Then, another layer and I either just de-saturated it or used a BW conversion layer (don't remember) and masked the portion I wanted to appear in color.

The shadow edge is a result removing the BG and nothing I did special, but I really like it.

There are two things I don't like:
1. If you look, you can tell that the nose is composited from another image.

2. The plane in space where the transition from color to BW takes place was hard to figure out, so instead of appearing like the color is in front of the frame with the BW behind, I ended up with more of an inside vs outside look.

I don't know what the thoughts are to linking to other (competing) forums, but some of the other nature photo sites I play on have a section for digital creations, or other thinking out of the box ideas. I'll share if you like.