After an incredible amount of time spent looking for a way of easily rounding my corners, I've come across the one I find the easiest possible:

jquery + rounded corners plug-in

So now I'll explain how to install, use, improve...

Installation:

First of all, download and place the needed files:

Now place them in your desired folder, for this tutorial I'll be using "js/"

Usage:

In a html document, you would paste the following code in the head:

 
<script src="js/jquery.js" language="javascript" type="text/javascript"></script>
<script src="js/rounded.js" language="javascript" type="text/javascript"></script>
<script language="javascript" type="text/javascript">
<!--
        $(document).ready(function() {
                $(\\'div.round\\').corner(); 
                // Note: Due to wordpress formatting a backslash \ is introduced here.
                //      You must delete it for the script to work
        });
-->
</script>

And anywhere in your website's body, whenever you place a div with a class="round", its corners will be rounded.

To create special corners, or achieve special effects, visit my demo page, full of special tricks.

Special cases:

The round command fills the "rounded" area with the body background color, so if you place this inside somewhere with a different background-color you must specify what color you want the corner to have.
Here you have an example:

 
        $('div.round').corner("cc:#F1F1F1");

If you want a bigger radius for your corners, just write the pixel radius in the parameters of corner():

 
       $('div.round').corner("10px");

Example and demo page:

I've set up an example and demo page, with all possible ways to do this, just go and see.

If you find any problems or suggestions feel free to comment!