1. Use a selection tool such as the Eliptical Marquis tool and drag out the shape. (Use the Shift key while dragging to create a circle.)
2. Under the Edit menu, choose the Stroke (Outline) . . . dialog to create a colored line around the selection. The default size is 1 px. I suggest you start out at around 10 px to be able to see the colored line (but this will depend on the resolution and size of your image).