You need the packages framed and fancybox.

Boxing Images with a Caption

for a default solution look at package hvfloat. Is the image/table larger than one page try the following. It is a special one for images/tables which are higher than one page. You need package framed.

In the preamble:

\usepackage{framed}
\makeatletter
\def\xcaption#1{%
\fs@boxed%
\def\@captype{algorithm}%
\caption{#1}%
\unvbox\@floatcapt\par}
\makeatother

\begin{framed}
 .....
 .....
\end{framed}
\xcaption{the caption}

Boxing a text over the whole columnwidth is very easy:

1. in a textline: \fbox{myText}
2. over the whole column or smaller by choosing a specific boxwidth instead of \columnwidth, e.g. 5cm or 0.5\columnwidth

   \fbox{\parbox{\columnwidth}{
   ..the text the text the text
   }}

   If you want framed text over more than one page choose package framed, and than in text

   \begin{framed}
   ... the text ...
   \end{framed}

A colored box is possible with package color and command \colorbox{mycolor} instead of command \fbox

Boxing over two or more colums is possible when you replace \columnwidth with \textwidth, but remember, that LaTeX reservs space only for the actual column. Therefore this makes sense in headers or footers, which have always \textwidth-format, which is unindependent from the value of the columns.

Boxing the whole page

A frame around the whole page is possible with packages fancxbox and pstricks. Write in LaTeX-preamble

\usepackage{pstricks}
\usepackage{fancybox}
\newcommand\BoxWidth{\textwidth}
\newcommand\BoxHeight{\textheight}
\newcommand\LowerLeftX{-10}
\newcommand\LowerLeftY{-250}

\begin{picture}(0,0) 
\unitlength=1mm 
\put(\LowerLeftX,\LowerLeftY){%
  \ovalbox{\rule{0pt}{1.075\BoxHeight}\hspace{1.05\BoxWidth}%
  }%
}
\end{picture}

psnup -b20 -d input.ps output.ps