To start out, once you have your Vegas opened, and your file opened and ready to go.
What I do is pick out and line up the three clips that I'm gonna use. Like shown below.
Next what I do is I go to my bottom, and right click on it and click on Event Pan/Crop. Once that window is open I adjust where the clip is set to the left or right, whichever you prefer.
Next I go to the middle clip, right click on it, click on Event Pan/Crop. Once the window is open, I move it in the opposite direction that I moved the top clip in.
I, however, leave the top clip where it is.
Next what I do is go to Video FX, click on Cookie Cutter and I pick the Square, Center, White Border and I drop it into all three of my timelines.
These are my settings for the bottom two cookie cutters.
This is the setting on my top cookie cutter.
Next I add another cookie cutter to all three clips....
These are the settings for the second set of cookie cutters.
This is what your finished product should look like...