I have a tutorial on ways to make borders:
http://patternhelp.com/uploads/HeightMapTutorial9.pdfThis is a pretty simple technique that can make greyscale borders. They can be turned into color ones usning the Color Map functions or just colorize. With this technique you can make any selection into any kind of gradient you want using the curves dialog box.
Basically you make a selection the size you want the border to be, fill it with Black, go to Border found under the Select menu, put in the width of your border in pixels and then click Feather, then with the selection do a Fill with BG Color to fill it with white. Then after unselecting simply use the Curves dialog box to make the border round by drawing a round shape. Then colorize.
Alan