Once you have applied your drop shadow to an image, select your Selections Tool and set it as shown below:
Now select part of the border as shown in the below image and go to Edit/Copy.
Now go to Edit/Paste as new selection. Place it on the bottom as shown below, be sure you align it correctly. Use the Magnifying glass to get close for this as even a single pixel off can make the biggest difference.
Now go back to Edit/Paste As New Image and paste it at the top as shown below: