Open up the photo to bend and copy it to a document with plenty of working space around it. I have added a simple frame to my photo by:

CRTL click on the icon of the photo in the layers palette to select it (you will see the marching ants around the edge). Create a new layer beneath the photo and select that (click on it) and fill with your color using the bucket tool.

To enlarge the mat while keeping the photo centered, select the (PSCS2) Edit Menu/Free Transform option or (PSE 4) Image Menu/Transform/Free Transform option. At the top of the screen overtype the Width and Height fields – they default at 100%. I used 105% for both for an even edge. Confirm the transformation by clicking on the box with the tick inside.

 Select the photo layer and using your Layer Menu select Create Clipping Mask (PSCS2) or Group with Previous (PSE4) to clip it to the frame.

CRTL click on the icon of the mat in the layers palette to select it and create a new layer beneath the mat. Select the new layer (click on it) and fill with your shadow color – black in my example, using the bucket tool. Change the opacity of the shadow layer to a setting that you like – around 50 to 60% is a good starting point.

To get the fuzzy edge to the shadow we need to blur it a little so select Filter/Blur/Gaussian Blur and enter a value of between 4.6 and 6.0 – I used 5.6.