Step 1:
Create a new document (file new) with following specifications.
Width -> 800px
Height -> 600px
Background Contents -> white

Step 2:
Create a new layer. (layer -> New -> Layers). Select “Rounded Rectangle Tool”.

And set color # d3d3d3 and radius 10px and draw a rounded rectangular shape as shown below.

Step 3:
Now we will apply some layer style to the rounded shape. Go to blending options of the layer and apply following layer styles.

Inner glow
Blend mode: Screen
Opacity: 100%
Noise: 0%
Color: #ffffff

Gradient Overlay
Blend Mode: Normal
Opacity: 100%
Start Color: # 929191
End Color: # f2f2f2
Angle: 90
Scale: 100%

Stroke:
Size: 1px
Position: Outside
Blend Mode: Normal
Color is # 929191

Our shape looks like this now.

Step 4:
Create a new layer. (layer -> New -> Layers). Select Rectangular tool and set color to white. Make a rectangular shape over the rounded shape that we created in step 2 as shown in below image. Also leave equal margin from all side.

Step 5:
Apply following layer style from blending options.

Inner Shadow:
Blend Mode: Multiple
Color: #000000
Angle: 120
Distance: 2 px
Choke: 0 px
Size: 10 px

Gradient Overlay
Blend Mode: Normal
Opacity: 100%
Start Color: # 5b7b15
End Color: # cbec82
Angle: 90
Scale: 100%

Stroke:
Size: 1px
Position: Outside
Blend Mode: Normal
Color is #ffffff

Now, it looks like this:

Step 6:
Now we will add a picture on the frame. Select any picture, but its size should not be greater than middle rectangular shape. Also leave some equal margin from all the sides. Create new layer, copy the picture and paste it.

Step 7:
Select polygonal lasso tool and make a selection like shown below.

Create a new layer. (layer -> New -> Layers). Fill the selection with white color and set opacity to 20%.

Our photo frame looks like this.

Step 8:
Press and hold ctrl key and select all layer except the background layer. Right click on any layer and select “Duplicate layer”. A duplicate of all layers will be created. Drag all duplicate layers to just above background layer.

Now we will change some layer style of duplicate shape that we created in step 4. Please mind, DUPLICATE shape.

We will only change gradient layer style. Rest layer style will be same.

Step 9:
Select all duplicated shape, Go to:
Edit -> Free Transform.

And move the shapes as shown in below image.

Our photo frame is ready. You can make frame size in accordance with your photo.