How can i put a border around it?

And how can i make everything without the HD Symbol transparent?

Hide the Background Layer and save a copy in a file format that supports transparency (psd, png-24, …).

What will you use it for?

Because vector data would make sense for printing, so Illustrator might be a better choice than Photoshop for this.

Could anyone tell me how i can put a border around the HD symbol?

With the Layer that contains the shape selecected try Layer > Layer Style > Stroke.

You’re welcome.