Note that this guide should not alter image dimensions, for that the frames/layers will not be resized and that the borders will be drawn onto the frame region.
0) You should already have all of your frame layers loaded into GIMP at this point.
1) Create a new transparent layer using the New Layer icon that is located at the bottom left of the Layers window.
2) Draw border on that transparent layer.(Be sure that the transparent layer is highlighted/selected in the layers window to avoid drawing on other layers.)
3) Duplicate the transparent layer for every number of frames that you are using by using the Duplicate Layer icon that is located at the center/bottom of the Layers window. (Icon looks like two stacked papers.)
4) Lower the border layers so that one of those layers are above each frame layer.
5) Right-click on the border layer and select Merge Down to apply the border to the frame. (Repeat this step 5 for every number of border layers that you are using.)
6) Border should now be on every frame.