Create a vector rectangle and colour it using layer styles. Please note that the select modify and feather options will only work in the same way if you are using the same settings for the size of the rectangle, canvas size and dpi settings. You can still use the same method but you will need to change the number of pixels to a higher or lower amount dependant on your settings.
A really quick and easy effect. Good for use when trying to add text to a scary photo. Could also be created with a white background with light grey and blue colours to create an icy effect.