What is the font where the letters are in a square box like on this picture?

Is the box drawn in photoshop?

Don't know. One can draw a box like that in any image editor ...

The "box" is not include in the font because a font manage only the charactere. If a "box" is include in the font, the result will be something like that :
http://www.dafont.com/taco-box.font
http://www.dafont.com/kbchatterbox.font
The box in your image was created by a graphic edito (like PhotoShop or other), a text editor (like Word) or other software (many can do that).