Step one:
Open a new document, make it any height, but make sure the width matches that of your web page. (Usually by screen resolution). Using the Square Marquee tool , make a rectangular selection on the left side of the image that reaches from top-to-bottom. Using the Paint Bucket tool , fill it with black.

Step two:
Deselect the selection. Now go up to the "Filters" menu and under "Blurs" choose "Gaussian Blur". Use an amount between 4 and 6 pixels for the Radius. Click "OK".

Step three:
Now, using the Square Marquee tool again, make the same selection as you did before, leaving some of the black on the outside.

Step four:
Using the Paint Bucket tool, fill the new selection with whatever color you want, then deselect. Now save it as a background and use it.

Step five:
Try making a small design inside the colored area for a more interesting border effect.