You shouldn't have to select anything. Just make sure your text layer is selected in your layer palette, then click the fx button that is at the bottom of the layer palette. That will bring up your layer effects and you can add the Stroke from there.
Yes, what she said.You may need to rasterize your text first...at least, I usually do that.
![]()
I can't ever add a stroke to my text unless I rasterize it first. I get a message that says it needs rasterizing. I use CS3.