In Expert mode:
1) Choose the Elliptical Marquee Tool and draw either an oval or a circle over the image.
Adjust the shape by using Select > Transform Selection and using the handles on the transform box to alter the size, adjust the shape or move it around. When you're done tweaking, click the green check mark to accept the selection.
2) Go to the Select menu and choose Inverse: to allow you to work with the area outside your shape (instead of the area inside it).
3) Soften the edge of the selection so that the line becomes less obvious, use the Feather slider to blur the border. Click OK once you're happy with the result.
4) Colour the vignette using the Edit menu > Fill Selection. Various presets are offered, including Black/Grey/White, otherwise choose from the colour picker.
5) Either make a selection from the Normal option from the drop-down menu, or adjust the opacity of your chosen colour fill.
NOTE: going back to the Fill Selection and lowering the selected opacity does not lighten the existing choice. Instead it adds the new opacity onto the existing fill, making the fill colour thicker. If you want to change to a lower opacity, first Undo the Fill Selection, then redo the fill and opacity completely.
6) Click OK to accept the current settings.
DONE. Save your new image as you usually would.