Here is what we did:
We cut the screen off of the ugly rolly thing and pinned it to the wall using sewing pins. By stretching it tightly, we removed as many wrinkles as possible.
Lowes was having a GREAT sale on this crown molding so we purchased two pieces, took it home and cut it into a frame. We used a simple hand saw and a carpenter's corner- nothing fancy. Just make sure that your corners are cut at the same angle so they line up nicely on your wall. Then, we nailed the four different pieces around the screen, framing it.