Create a Simple Border as above, but make it wider than before:
Note that I used 10 pixels (10 px) for this.
From the Filter menu, select Blur and then click on Gaussian Blur...:
The Gaussian Blur window will appear. Input a Radius for the blur:
Note that the radius will control how much of the border is blurred. For this example, the border size is 10, and the blur radius is 5 so half of the border will be blurred.