The easiest way to do this...
Is to
a) Select the elliptical marquee tool.

Make a circle. if you want it perfect, hold down the SHIFT key. Also, you might want to do this on a new layer.
c) (Optional) Save selection, in case you want to use it later
d) Now, go to EDIT->STROKE.
e) You can choose how large you want it to be, whether it is inside or outside the circle, and the color of the line.
f) Deselect(Or select all, I think either should work)
g) Apply filters as you see fit.