Round corners can be done with CSS (border-radius) but this only works in modern browsers. It does not work in IE6/7/8 but there are projects that bring border-radius to these IE versions, e.g.
http://css3pie.com/ (but I do not know how it affects performance).
Other solution would be to use small rounded corner images and put them into the corners. Using images you can have round borders in every browser.