Ok vaibhavtek, here is your tutorial..
1. First of all, You need to have Transparent background layer. To create a transparent layer, in the new layer dialog box select Layer fill type as "Transparent". Keep this layer to the bottom of your layer pallet. If you have white background layer, delete it.
*i173.photobucket.com/albums/w55/amitava82/roundedcorner.jpg
2. Next, you need to save the image as PNG in order to maintain transparency. If you save as jpeg you will loose transparent colors. So Click File > Save as.. From the file type menu, select PNG
*i173.photobucket.com/albums/w55/amitava82/savedialoge.jpg
3. Click Save. A dialog box will popup. Click Export.
4. In the next dialog box uncheck "Save background color"
*i173.photobucket.com/albums/w55/amitava82/saveas.jpg
And you are done.
*i173.photobucket.com/albums/w55/amitava82/transparentround.png
I really hate typing, but hittbox made me to do this..