Should work, I would suggest the following
1. Crop image to the size of paper you want to print on - maybe add a bit to allow for the rounded corners. Crop tool stadard size - I used 4x6 at 300 ppi for this example
2. Next, press U on the keyboard to activate the Shapes Tool - selected the Rounded Rectangle Tool (second on the list)
3. Drag out the shape rectangle - start in a corner (upper left works for me) and drag down and right (for an upper/left start) and draw out the shape. You should have nicely rounded corners. If not, delete the shape layer, and set the Radius setting (on the tool bar) higher - it will depend on your picture resolution.
4. Double click the Background layer to convert it into a normal layer.
5. Drag the shape layer below the old background layer - should be layer 0 - so that the image is above the shape layer.
6. Right click on image layer - select "create clipping mask". Layer stack should look like this when done.
After you are done, you can use the Move tool to position the shape as you want, or need to. If you want a soft edge, use Filter, Blur, Gaussian Blur on the shape layer (CS3 will rasterize the layer and then blur it.