Here's a quick and easy way to make a vignette.
1. Make a new layer. Use the color picker to choose the color you want to use for your outer area. Fill your new layer with it at 100% opacity.
2. Set the opacity on your new layer to 25% so that you can see your background layer thorough it.
3. With any selection tool you like, select the area and shape you want to vignette. You can even use the lasso tool to make vignettes with uneven or odd shaped borders.
4. Go to Select > Inverse (or Ctrl+Shift+I) and then switch to quick mask mode (press Q on the keyboard)
5. Go to Filter > Blur > Gaussian Blur and adjust the feathering to your liking. You will see the effect take place on the red mask as you move the slider.
6. Exit quick mask mode (press Q again), and invert your selection (Shift+Ctrl+I)
7. Re-set your filled layer's opacity to 100% and go to Edit > Cut (or press Ctrl+x). You can play with the layer opacity to let more of the original image show through the vignetting until you are satisfied with the effect.