Are there any Photoshop experts here? I have a problem that I cannot seem to resolve to my satisfaction.

I have some images in JPEG format that I want to have rounded corners on so they look cleaner against a dark background. I am able to use the rounded rectangle tool and select the image with rounded corners, but when I have the image as a JPEG is shows up with white along the corners instead of being deleted/clear.

I am able to save the images how I want as a GIF or PSD but not as a JPEG. I would rather not convert all of my photos to GIF if possible, this seems like a set backwards.

Can anyone offer up some suggestions?