Depending on what you want, you may need to add some canvas to give the border a place to be (Image>Resize>Canvas Size) but you can just press Ctrl+A/Cmd+A to select all, then go to Edit>Stroke (outline) selection, where you can choose the parameters of the border stroke. You can't choose Outside for the location, though, since that would put it off the canvas entirely where it wouldn't be visible.
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