I for some reason always seem to have difficulties with round corners, they just don't come out like I want them to? Is there a tutorial or if not someone maybe could make a quick one, cheers.

What do you mean? They look fine in your avatar and sig.
 
Basically you either use the Pen tool to create a custom shape -- or you simply take the Rectangle tool, use the Ellipse tool to make a circle on the corner, inverse the selection, and delete/erase the part you don't want.

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Glomping the internet populace.

One forum at a time.

 
Or another thing you could do is use the rounded rectangle tool to make a shape or path and then select the path, inverse, etc like uttaresh said.
 
You can also change how rounded the corners are in the Radius option box

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OMG, how could I forget that.

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Glomping the internet populace.

One forum at a time.

Do you mean that they come out aliased?

Yeah Kind of, sometimes they are. Could be doing something wrong or it may just be in my mind..
 
 
There is quite a lot of crap in that mind of mine.  
 
 

Round edged rectangles can be a bit messy at times...
 
I am with the Duke