My 1st Tut So Bare With Me :lol:
1)Make A New Document-400x100.Contents=Transparent.
2)Select The Polygonal Lasso Tool.

3)Hold Shift And Create Your Own Border. Make Sure It Is Not To Close To The Edge. My Example Below:

4)Select The Inverse Option. Select>Inverse.

5)Fill That Space With The Colour Of Ure Choice.

6)Now Select The Polygonal Lasso Tool Again And Go Around The Border You Just Made With The Design You Want The Trans.See Below.

7)Again,Select Inverse,Then Press Ctrl+X To Cut The Bit You Have Selected.Note:You Will Have To Select Other Layers,Then Press Ctrl+D To Reselect The Selection And Press Ctrl+X To Cut.ALL LAYERS MUST BE CUT.

8)Add Ure Own Blending Options...Bevels,Shadows,Gradients Etc.Heres Wot I Did:

9)Now Cut Some Holes In It Using The Rectangular And Circular Marquee Tool Then Press Delete.(Thats If The Border Is Big Enough,In My Case It Isnt)
10)To Make The Quality Better,Go To Image>Mode>Indexed Colour.Keep The Default Settings.
11)Now You Have Done Your Transparent Border,Time To Save!!Go To File>Save For Web.Then Use These Settings:

Please Post How Yours Came Out,As I Would Like To See If Ive Helped.Here Is My Finished Product:

I Had Fun Doing This Tutorial So Please Enjoy It :)