If you've already got a pet door that isn't self-framing, you'll need to frame the hole as shown. To do that you're going to need a table saw to rip the pieces to the correct thickness. Glue in place, clamp and let dry. Then mount the pet door.

The only difference in a steel door is that you use a different saw for cutting the hole. Jig saw with a metal cutting blade works best.

It's probably a good idea to choose a sturdy metal-framed pet door for this application. The plastic-framed ones are easier to distort if the surface isn't perfectly flat and any distortion may cause the flap to bind and not swing freely.

The best, neatest way to handle this situation is shown: cut furring strips just thick enough to bring the thinner areas up to the same thickness as the thicker areas.

Cheater method: Get a 'self-framing' pet door and make each of the four corners the same thickness. Then caulk in the spaces between the corners.

You might find the Universal Pet Door Installation Kit useful here.

However, this method--which uses a door mount type pet door--is much sturdier.

Of course, you can also cut down into the base of the door to reduce the 'rise' for a shorter pet. Don't cut so far that you weaken the door frame though!

Note that this same approach may be used for a screened-in porch: add framing members to support a door mount pet door.

Some door mounts may be doubled up to make a 'double flap' wall mount for better insulation. You buy two and mount a flap on both sides. But not all door mounts will work this way. Better call before you do this.

Big problem if you cut into electrical or fail to seal the wall so that water intrudes! Best to use a licensed contractor!