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What you see there is not done in photoshop. Its done using CSS background and border properties.
If you have not come across this before you may well be best heading over to the CSS forum.
Plenty of useful guidance in the library too:
Though, if this was purely a Photoshop question, if you right click on the layer there should be "blending options". Go to stroke and you'll find the ability to add borders to your text and other shapes/layers you select.