Making rounded corners is not easy. This is because all browsers don't support rounded corners, notably IE prior to IE9 and that is a lot of users.
If you google "css rounded corners" you will find lots of helpful references and examples.
I found this --
http://www.curvycorners.net/ -- a jQuery plugin that rounds corners, even in browsers that don't support them. So, if you want to go that far, you can use that.
The "usual" way of doing this has been to use background images, and that can be a pain.
You can round corners in skins, containers, and in HTML modules with appropriate CSS. We don't have any specific tutorials here. But there are plenty if you google around. They mostly relate to generic CSS, so they are quite applicable. You can use our tutorials for skin and container development and CSS styles to understand how all of the plays together. T