To create a vignette make an oval selection of the focal point of the picture with the Elliptical Marquee tool. Next, invert the selection (Select > Inverse) so that everything else is now selected.

With the selection still active choose the Feather command (Select > Feather) and input a Feather Radius value into the dialog. Click OK to continue.

Now pick the Levels feature (Enhance > Adjust Lighting > Levels) and drag the middle slider to the right to darken the selection area (drag the slider to the left to lighten these parts). Click OK to apply the changes.