The style is the bitwise OR between a frame shape and a frame shadow style. See the illustration in the class documentation. Naturally, you should not specify a shadow style if you use this. Box draws a rectangular box. The contents appear to be level with the surrounding screen, but the border itself may be raised or sunken.
Panel draws a rectangular panel that can be raised or sunken.
WinPanel draws a rectangular panel that can be raised or sunken. Specifying this shape sets the line width to 2 pixels. WinPanel provides fancy Windows 95-like shadows. Raised draws a 3D raised line using the light and dark colors of the current color group. Sunken draws a 3D sunken line using the light and dark colors of the current color group.