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I'm going to assume you mean a "Matte" not a border.
Add a new layer above your photo.
Select ALL. Then under the EDIT menu choose Stroke. The number you use here will be the width of the matte.
Deselect.
The HUE&SAT filter can now be used if you need to tweak the colour at all.
And that's about it.
To help the effect along, add a small drop shadow ('small' as in the "distance" being only 1-2 pixels).
You may also want to give the inner edge of the matte a little thickness -- a lot of mattes have a bevel to them, and are not just flat pieces of paper/cardboard. The best way to add this type of bevel is to first, duplicate the matte layer. Move the duplicate below the original. Fill the duplicate matte shape with white. Apply the FILTER>Other>Minimum filter set to about 2-3 pixels (= bevel width). Your photo's size will determine this exact number. My sample image here is fairly small.
Apply the "Bevel & Emboss" layer effects filter. Max out the 'Highlight Opacity', and reduce the 'Shadow Opacity' to around 35%. Also, use the "Chisel Hard" bevel type. And max out the "Depth" setting. The bevel width should at least equal the same number you used in the "Minimum" filter -- which is what decided the bevel width.
Also... for a better bevel effect, make sure the "Altitude" of the light source is at 10 degrees.
TIP: you can also apply a texture to this to give it another look. Or use any colour you like for the bevel on the matte. Experiment!