Between participating in the OOB thread, and seeing Vail's version, this just screamed to be OOBs to me.
Opened image, opened sky as layer and scaled down to approx size I wanted, did an alpha to selection, created a border by Selection-Border and selected 30 pixels (I think), created a drop shadow, transformed, went back to the original pic and masked out unwanted portions and adjusted levels, applied mask, rotated to appear to walk out of the picture, opened a transparent layer and selected a rectangle, filled with the blend tool set to Rainbow, Used Filter-Distorts-Curve Bend to create the rainbow, reduced opacity of rainbow, created a new layer, filled it with blue and moved to bottom, flatten.