To define custom Module chrome in your template you need to create a file called modules.php in your template html directory. For example, this might be [path-to-Joomla!]/templates/my_template/html/modules.php.
In this file you should define a function called modChrome_style where "style" is the name of your custom Module chrome. This function will take three arguments:
The function should echo the $module->content, wrapped in whatever chrome is required. To see how this is done look at the code for the standard Module chromes in [path-to-Joomla!]/templates/system/html/modules.php.
Note that this makes it possible to pass parameters from the <jdoc:include> into the Module chrome function. See: jforum:115953