You can't add anything to the built-in set of page borders. What you can do
is place copies of your photo around the edges of the page, either
indivually or grouped into a single large picture, as described in
http://sbarnhill.mvps.org/WordFAQs/BorderArt.htm. That article mentions
commands from Word 2003; the dialogs in Word 2007 are the same, but it may
not be clear how you do the same thing in Word 2007. For example, to get to
the Format Picture dialog, right-click a picture you've inserted and choose
that item from the popup menu.

To have different borders on the first page and the remaining pages, first
go to the Page Layout ribbon, click the little arrow button in the bottom
right corner of the Page Setup group, click the Layout tab of the dialog,
and check the box for "Different first page". That gives you two separate
headers, one for the first page and another for the rest. Anchor your
pictures in the appropriate headers to make them appear as desired. (Also
see http://sbarnhill.mvps.org/WordFAQs/AnchorToHeader.htm to understand what
"anchoring a picture in a header" means.