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Nope, no setting for that,... Photoshop just sucks where perfect circles are concerned.

Try this instead... create your circle selection, then simply Stroke it the pixel width you'd like. You have 2 methods of Stroking a selection; one is permanent, the other editable.

1) Under the EDIT menu choose Stroke... Apply the pixel width you want, but eave the other settings default.

2) Using the Stroke Style within the Layer Styles dialog window. Double-click the layer, then click on the Stroke filter at the bottom. Change the settings to your needs.

Oh and actually... there's a 3rd option here... using the Vector Shapes tool to create a preset circle outline. Press the 'U' key. Then from the Options Bar along the top of your screen, click on the blob looking image (custom shapes). To the right of that image you'll see the word "Shapes". Clcick that. When the library window opens, click the small arrow at top-right. Within that list choose "Shapes". There should be a circle outline shape already made up.

If you're not sure about using the Vector Shapes/tools, i'd suggest reading through the HELP! files to get more familiar with them. There are several little things that need to be addressed/changed when using this tool.