Are you talking about around the whole page?
If so, the way I make different borders, is to cheat, and insert the shape that you want around the edge of your page in as a footer.
That way you can't mess with it while you're typing and you can play with the colours/line thickness all you like because it's just a shape. Hooray!
There are squares with rounded edges in Basic Shapes if that's what you were after.

All you have to do is insert a Footer.
(If you don't know how to do that. You can learn here.)
While still in the Header/Footer design tab click Insert, then Shape.
Draw the shape as big as your whole page so it makes a border.
Then just click Close Header and Footer on the right of your little ribbon..
TAA DAA. A cheaters border
If you want to fix it later, just double click around where the footer is and it will allow you to edit it.

If you were talking about text boxes, you can always just add text to any shape you like.



Hope this helps!