Right. There are probably other ways of doing this, but this was very simple and used only the canvas size command in the image menu. Using the image I posted as an example:
1 With image open Image menu>canvas size.
2 With the relative box checked, the centre anchor point box selected and the width/height set to cm (or you can use anything you want), we now make the first white border.
3 Enter 0.1 in both the height and width boxes, and select white as the extension colour. Click OK, we now have the first border.
4 Image menu>canvas size again and now set the boxes to 0.5 and the extention colour to black. Click Ok and we have the first part of the black border.
5 Back to the Image menu>canvas size, now enter 0.2 and the extention to white. OK gives the white insert.
6 Image menu>canvas size for the last time and now enter 1.0 in the boxes and black in the extention colour. Ok now gives the border as in my image.
You can choose the values to enter in the height/width boxes to suit yourself. Also the colours of the different stages can be changed by selecting other in the canvas extention colour drop down and using the eye-dropper to sample a colour.
I'm sure there is another way to do this with layers that gives more control and options. If I find out how to to do it, I'll post that too.