Ok well because that last tute with the screen shots basically sucked - because it was to have the frame on a whole different layer. Which I personally think isn't necessary coz I only put frames on my web stuff and never on things I'm going to print out.
So here is a nice new tutorial I've done up. This is a pretty basic frame but it's one I always use.
I've also got instructions for creating an 'action' so you just click once and it automatically puts the border on. If you've ever recorded a macro in Word or something like that - it's exactly the same. And very easy to get the hang of.
If you don't want to create the action - just ignore anything written in blue. If you want to create the action - do everything that's written and the things in blue. Good luck!
Tutorial
1. Open your document and edit it to how you would like. The frame should be your final step in editing - just before saving.
2. Change your image size so it's web-friendly. (I set my portraits to 440px wide and my landscapes to 650px wide). So to resize click Image -> Image Size. Then make sure the "Constrain Proportions" Box is ticked. Then change the width to 440 or 650 pixels depending on the format of your picture. Hit Ok.
Ok so now we have something we can put a frame on.
3. Select your 'background' layer (or the bottom-most layer in your layer list)
4a. Only do this step if you want to create the "action"!!
Click on the "Action" tab which is behind your history tab on the right side of your screen. If you can't see it. Hit Alt+F9 and it'll pop up.
Then click on the "New Action" Button.
Put in a title for the action like "Frame". Hit Ok
The little red record button (2nd button in from the left) will have now lit up red. If it's not red - click it. Now it is recording your mouse clicks and the action.
4b. Click Image -> Canvas Size.
- Change width and height to 5.
- Set Units as Pixels
- Check the "Relative tick box"
- Select colour of border -> black. (this option is only available in Photoshop CS and CS2. To select the colour in previous versions.. Before getting into the Canvas Size dialog box change your brush colours to black or colour you want.)
- Hit Enter.
5. Repeat Step 4b, but instead of changing the width and height to 5, this time set it to 2 pixels.
And select the colour as "white".
6. Repeat Step 4b yet again, but this time change the width and height to 30 pixels.
Select the colour as "black".
7. Now you can hit the stop button to finish recording your action. The stop button is on the far left side of your actions window.
7b. Now you should end up with something that looks like this.
Optional 8. If you want to change the colour of the white part of the border - you can just use the "Fill bucket".
Select the colour you want.
Select the "Fill bucket".
Zoom in on a corner of the frame.
Click on the white part.
Optional: You can change the size of the frame by changing the numerical values in step 4b.
Actions Help: To run the action on future photos. Just select the 'background' layer. Then select the action from the list. Then hit the play button. (third from the left)
Now... do you happen to have a similar tutorial on how to make watermark signatures.. because everyother one I get lost half way through in. 
