Get Your Vignette Set
Begin by creating a duplicate layer: Choose Layer, Duplicate Layer, and then click OK. You should be working in the top layer automatically, but you can verify where you are by checking the Layers palette on the right side of the screen; make sure the top layer is selected.

Next, select the region that you want to preserve. Choose the Rectangular Marquee Tool (fifth from the top on the left side of the screen). In the Options toolbar, set the feathering to a fairly large value; the more pixels in your image, the bigger your feather value should be. For my sample photo, which is 800 pixels wide, I chose a feather of 50 pixels. Now draw a rectangle that contains the part of the photo you want to keep.