When you're done the animation, save it, go to animation wizard, click 'as defined here' and set that about 4 pixels bigger than the animation, then click next, set it to opaque and choose whatever colour you want, click next, check 'centered in the frame' and 'with the preceeding frames contents', then next, check 'yes, repeat the animation indefinately', click next then add the animation, then click next and finish
There might be another way, but that's how I do it, and it works just fine. I hope you understand :-x
How to make a border for an animation 
