Are you wanting to do a plain colored border all around your page? You could select the entire page (CRTL + A) and use the stroke command (right click when the marquee tool is active). Set the stroke command to inside and enter the size of the border you want. You can use the foreground, background, black, 50% gray or white.
HTH! If I misunderstood the question, redirect me and I'll try again.
