This is how I do it, using Photoshop Elements (version 1! how old!).
Sorry, I know I'm rubbish at explaining things.
1. select the Elliptical Marquee tool.
2. sketch the ellipse, starting from the top left of the image, and dragging down to the bottom right corner.
3. Right click in the middle of the ellipse. Click "Select Inverse".
4. Right click, anywhere on the image, and go to feather.
5. Select a feather of 200 pixels or so. This depends on the image size really.
6. Go to "enhance", then "Brightness / Contrast" then levels. (i think this is different in the other versions of photoshop, basically, you want to adjust levels).
7. Drag the left hand slider of the levels chart towards the right slightly. you'll start to see the vignette in the preview.
And thats it!
Hope this helps,
Chris.