<Drawing a basic rectangle>
1) Select the rectangle tool from the toolbar in Photoshop (Figure 1.)
2) Draw a rectangle as you wish.
3) Select Edit > Stroke and then specify the width (thickness) and color (Figure 2.)



<Drawing a rounded rectangular>
1) Select the rectangle tool from the toolbar (Figure 1 above.)
2) Select Select > Modify > Smooth (Figure 4.)
3) Specify the sample radius in pixels in the Smooth Selection window (Figure 5.)
4) Select Edit > Stroke and then specify the width (thickness) and color (Figure 2 above.)



* The screen shots above are based on Photoshop CS5.