This tutorial for Photoshop 5.5 user (like me) or below, which doesn't
have rounded rectangle tool.
1) Create an image using marquee selection tool 
and
play around create some different shapes. Make sure you hold down Shift
key, so you can make many shapes without deselect others and fill them
with color. I used black here (fig 1)...then
ctrl+D to deselect it.
Fig 1
2) Go to Filter > Blur > Gaussian blur, in here I used 5
pixels. (fig2)
Fig
2
3) When you were done with the blur, press ctrl+L to bring the
Levels dialogue box came out....then grab those sliders at the far
ends and bring them close together, until you have a nice rounded
edges.
(fig 3)
fig 3
4) This is what I got :
Hope it helps :)