How do you add page borders in InDesign?

I may have found a simple solution for you. Find a nice picture with whatever design you like. Lay that over the entire page. When you are doing with that you can then get the rectangle tool and overlay a box on to the picture. Fill in rectangle as white and you are good to go. Here is a .gif. that demonstrates the process. Also, I understood your question right away. Some people can complicate a Peanut Butter and Jelly sandwhich. 

Why is using a frame with a border and locking it not the way to go with this question? On your master page add a rectangle frame (cmd F) add your desired border effect by setting the Stroke to whatever width you want and lock it in place. It won't move or get in your way. If you want to override the master to change 'border' color you can shift-click on it to select it and change the color, width etc.

Page borders? I'm not sure what you're asking but you ca use the Rectangle Tool in the Tool Bar on the left to Add a Rectangle around the page.

You can apply a stroke colour by going to Colour Panel and selecting the Proxy for  the stroke and the colour you need.

And you increase the Stroke Width by going to the Stroke Panel.