The options for stroke were not in the options bar for CS5.
You can fill with the color box on the right.
To add a stroke use layer styles
Those options don't allow to select the thickness of the stroke.
Also in the Edit drop down the Fill and Stroke are grayed out.
Layer styles allows you to change the size, position, colour, blending mode etc of the stroke.
Select the shape layer - click on the Add layer style icon at the bottom of the layers panel and click on the stroke option to see the controls.