Regions in Drupal are always managed from your themes info file. In Drupal 6, if you needed to modify the markup or add classes, this was achieved through your page.tpl.php file in your theme folder. Things are now different since the render() function was introduced.
In Drupal 7, regions are broken up into separate template files. For custom regions, you would use the same process as any existing regions. All existing regions can be found in your themes .info file.
Say you needed to add a class to clear some CSS floats in your region - this is how we would do it: