1. You should start by creating a selection with the Elliptical Marquee Tool on the top right corner as shown on fig. You need to hold down the Shift key while dragging so you get a symmetrical circle.
You should take a close look at the elliptical marquee tool and you can notice that it has 4 small regions on each side of the selection which are flat. When you place the selection you will be using those regions to placed it properly. Below you can see how use the arrow keys to position.

2. make a new selection by using the Rectangular Marquee tool. You should start at the upper left corner and then you need to move it towards the sircle while holding down the Shift key. After that you should stop when you get to the top flat regions of the sircle and continue down just below the black area.
You should have a similar selection as you can see below.

3. Now you need to do the same with the lower part of the sircle. You should start in the lower left corner and then you need to continue up and to the right while holding down the Shift key.


4. The last thing you have to get rid of that upper right corner. You should invert the selection (Shift + Ctrl + I) and hit the delete key. Deselect.

5. It is the simplest way of making round corners, if you want to make all the four corners round.
Ctrl + Click on the shape and then you should go to the Channels palette. You need to hit the Save Selection as Channel button.

You should have an Alpha 1 channel.

7. After that you should go to Filter > Blur > Gaussian Blur and make a radius of 6 pixels. Now you need to hit Ok.

8. You should go to Image > Adjustments > Levels (Ctrl + L) and after that you need to move the handles towards the middle.

Now you should make a new selection by Ctrl + Click on the Alpha 1 channel.

9. At last you should go back to the Layers palette and Inverse the selection (Ctrl + Shift + I) and hit the delete key.