You have to draw it yourself.
Make a class and Inherit it from Windows.Forms.Panel.
Create a handler for the Paint event for the control. And then in it type in this code:
Private Sub Class1_Paint(ByVal sender As Object, ByVal e As System.Windows.Forms.PaintEventArgs) Handles MyBase.Paint
e.Graphics.DrawLine(New Pen(Color.Blue), 0, 0, Me.Width, 0)
End Sub
The e.Graphics.DrawLine will draw a line which will look like a border becuase it is drawn along the top of the panel. You can do that for every side.
Then you just declare that class and use it on your form.