Courtney told you ... Choose the rectangular marque tool. On the menu bar put in a feather amount. The higher the number, the larger and more gradual your vignette fade will be. I often use about 100 pixels for my photos.
When you select a feather amount, that's going to round the corners of the rectangle. And, you want that to happen for it to look like a vignette. The higher the "feather number", the more it is going to round the corners. If you are working with a relatively low resolution image, then a suggested feather of 100 px may be too high; it sure will look like an oval.
If I am working with an image out of my camera cropped at, say, 4 x 6, that image has a resolution of over 600 px and I will use a feather amount greater than 100.
Try it again. Look in the lower left corner of your edit screen to see what is the resolution of your image.
For starters, use a feather number that is about 1/4th of that number. In this case: 300 / 4 = 75. See what that looks like with the feather set at "75". You can always delete the created layer and try it again with a different feather number, greater or smaller, and just keep doing that until you get one you like.