The final thing that you need to do before you can use this image as a picture frame is to save it in the proper format. To do this, make sure your image is selected and then choose Export from the File menu. Then select the Picture Frame option as shown below.
When the Export Picture Frame dialog box appears, just pick a name for your picture frame design, type it in, and click Save. Now your design will be available from the Picture Frame option in the Image menu for any future projects.
For more tips and tricks, be sure to check out the other items in Bright Hub's collection of Paint Shop Pro tutorials.