You can use the Split Video transition to show the main clip in the middle
as a rectangle while the rest of the frame shows another clip/still image.
Check out my Split Video transitions. www.rehanfx.org/split_video.htm
Or you can Overlay/ChromaKey the border image with a particular color
becoming transparent to show the video underneath. You can make the
overlaying image an animated gif or just another clip. But have to make sure
that the key color is not altered. Check out the Overlay/Chroma Key
transition discussed at: http://www.windowsmoviemakers.net/Forums/ShowPost.aspx?PostID=3397
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Rehan www.rehanfx.org - get more effects and transitions for movie maker