- make a retangular marquee and fill it with your given color
- choose the circular marquee
- move your cross hairs near the corner of the rectangle so that it forms a square (if the corner of the rectangle is at the zero point then your cross hairs could be 50 pixels in by 50 puxels down)
- while holding the shift key, drag the circle until the outer edges meet the outer edges of the rectangle
- now fill the circle with a different color
- erase the corner of the rectangle which contrasted by the new color
- fill in your circle to match your rectangle
This sounds a lot more complex then it is; try it. Once you get the hang of it, it only takes a few minutes to round the corners of your rectangles.
In addition, if your making graphics for the web and you feather the edges, this will cause dithering. So instead of the edge of your marquee being one solid color, it ends being five or six which makes the files much larger.
That can work fine and so can feathering. However, be aware that if you are making gif images for the the web, these processes will cause dithering. Dithering will cause more colors and larger file space. Several of these images on one page will cause a noticable difference in download time.