There are many ways to do something like that.
It looks like they made the border in photoshop, either with the pen or paint brushes. They may have just downloaded border brushes with that shape. You can find a lot on http://www.deviantart.com
. Just be sure to check the artists policy on crediting. You would have to save it with high contrast color background that can be cleanly chroma keyed out in Vegas.
The color adjustments could be made in vegas, and it looks like they just used Cookie Cutter (probably a rectangle) and put it on the layer under the border, so it looks like the border of the frame.
Even if you don't have photoshop, you can find free border images online if you look around enough. For example, (I'm not familiar with the website) but I found this
through a quick google search.
Or, a shape like that wouldn't be too hard to mask from a solid color generated media in vegas. Just use feather for a smoother look.
And just for extra confusion
If you want to do it the way I've said and you have trouble syncing the 2 layers to move at the same time (this is what I do, I don't know about other people), use 'track motion' for both layers so you can keyframe the positions for one and just copy and paste the keyframes for the other. You can also get that feather around the frames in the video by using the glow in track motion.
... long post, but I hope it might be helpful in some way.