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Type REGEDIT in start menu search box or run and press Enter.
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Navigate to:
HKEY_CLASSES_ROOT\SystemFileAssociations\image (for images)
HKEY_CLASSES_ROOT\SystemFileAssociations\video (for videos)
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Double-click on Treatment in the right-side pane.
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Type your desired value in the Value data box from the list:
0 : No Border (Makes thumbnail previews faster)
1 : Drop Shadow
2 : Photo Shadow (This option and the previous option looks exact in Windows 7 but not in Vista.)
3 : Video Reel
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Type TSKILL EXPLORER in start menu search box or run and press Enter.
Now the Windows Explorer will restart and you will be able to see the new border.