When you view the photo in Photoshop, does the photo have a border? If so, you can't adjust the border in InDesign. You can crop out some or all of the border by moving the corners or sides of the image frame closer to the image.
If your photo doesn't have a photoshop border, you can add a stroke weight, style and color to the image frame by going to Window>Stroke, which will open the Stroke pallet. You can show additional options by ticking the triangle in the upper right corner of the pallet and selecting Show Options. You might also want to brush up on InDesign basics by consulting the Help file, or getting an instruction book on InDesign, such as Sandee Cohen's Visual Quickstart Guide.