Here is a quick and easy way to create a vignette. I used Photoshop 7 but this tutorial will work with any version of Photoshop as far back as Photoshop 4
Open a photo or image in Photoshop.
Select the elliptical marquee tool and select the area you want to keep.
Tip: If you want to keep a perfect circle or square, hold the shift key while dragging out the marquee.
On the top tool bar go to Select > Feather and choose a radius of around 10. The higher the number you choose, the more fade you will create. Then go back to Select > Inverse. Your image should now look like the image to the right. Notice the selection is circular and also around the outside of the image.
Click the delete key and you have created your first vignette. Play around with different selections to create other shapes. Have fun!
Tip: If you delete the selection and you don't like it you can hold the control key and click Z. Control Z s undo.