Which version of PS? If you have 6.0 or above, open Image Ready and use the Rounded Rectangle Marquee tool.
If you don't have 6.0 or above (which you should just get anyways).. There are filters for the older versions to round edges (which you could search for)... But as Rob-de-Crazy said, Image Ready has a sweet function that'll do this for you.
I'll post this tut - someone please let me know if this is not cool (posting a link I mean ) Link Andy
Rounded square tool is probably your best bet. There are some other complicated ways of doing it but these seems like the simplest.