Two ways come to mind for me when I think about this.
Either utilize Mozilla's webkit to do CSS code that will make rounded corners (many theme designers use this method and WordPress's rounded tabs use this method, but not all browsers can/will render this code) or utilize a combination of CSS and graphics or utilize a combination of graphics and JavaScripting.
Utilizing CSS and graphics or utilizing CSS, graphics, and JavaScripting is a bit of a lengthy process as it involves extra declarations and your best bet would be to research the methods online using Google. :)