Frames can be expensive. If you decide to go this way look into framing for canvases. The pieces are sold in pairs, already mitered, and are made to go together at the corners. Whatever you decide to use as your frame it has to be able to support the board across the top and will benefit from blocks on the corners for additional strength. You don't want to put your time and money into it only to have it collapse sideways because it wasn't ridgid enough.
Find an appropriately-sized used? bookcase. Knock off the back. Buy radiator grating, or chicken wire if it suits your decor and nail or staple it on.
Get trim at HD and ask them to cut to size and nail it over your mesh.
Paint to suit.
You could also use “small” square wood lattice for a more formal look. Again, HD or Lowe’s would cut to size.
Measure the space around the rad. Draw out your design on paper, mark the size and number of the wood pieces you will need on your drawing. Have the pieces cut for you at Lowes or Home Depot. After you construct the frame you will need to insert some metal grill (thin, flexible,open screen) it can be costly so plan well. If you don't want to cut that either, then know ahead of the build what sizes are available and build accordingly.
Also, know ahead of time what type a fasteners you plan to use. If you decide on screws be sure to pre drill the holes so you do not split the wood. If you plan on using nail I suggest that you also use wood glue. A "square" will be useful when you start to assemble the framework. Include some blocks of wood to go into the corners where the top meets the sides of the frame to help stabilize your frame and make it a little more rigid.