Or you can just do this:
On a new layer, grab your elliptical marquee. Make your circle. Now, put your foreground color to the color that you want. After you've done that, go to Edit > Stroke... > and set it to outside. Set the size to whatever you want, and set the color to whatever you want if its different than your FG color. click ok.
That's how I do all of my borders/outlines =). Takes me just a few seconds now that I'm used to doing it that way.