The way I do it is....
Image > Canvas size and then I up the canvas size by whatever percent or however many pixels and choose the colour to fill it in.
You can do this multiple times with one image choosing different colours to create any border you like.
I've also recorded it as an action so I can use the same border on multiple images without having to do the whole thing over and over.
bring up the actions tab (window->actions), and push the little button at the bottom that looks like a record button on a vcr. then do whatever it is you want to be included in the action, then press the stop button. then you can repeat those actions by selecting it and pressing the play button