OK, so you really just want some links styled with rounded corners. The nicest way to do that is with CSS3, but older browsers (IE8 and under) don't recognize that, though you can give them a nudge with some JS, which is my preferred option. The alternaitve is to do this with images, but honestly, they suck.
There are hundreds of links online for CSS3 rounded corners, such as [this and [URL="http://jonraasch.com/blog/css-rounded-corners-in-all-browsers"]this](http://css-tricks.com/snippets/css/rounded-corners/), but I've just chosen them at random.
Firstly, it sounds like you need an UL with the LIs floated left to make them horizontal. From there, it's just a matter of adding the border-radius code to your styles. Personally, I just let older browsers get square corners these days.