The problem with the fill solution that is marked as the answer is it does not work well with non solid/uniform brushes. Here is another one based on the GraphicsPath class wich I think is more reusable:

public static void FillRoundedRectangle(Graphics graphics, Rectangle rectangle, Brush brush, int radius)
{
    if (graphics == null)
        throw new ArgumentNullException("graphics");

    SmoothingMode mode = graphics.SmoothingMode;
    graphics.SmoothingMode = SmoothingMode.AntiAlias;

    using (GraphicsPath path = RoundedRectangle(rectangle, radius))
    {
        graphics.FillPath(brush, path);
    }
    graphics.SmoothingMode = mode;
}

public static GraphicsPath RoundedRectangle(Rectangle r, int radius)
{
    GraphicsPath path = new GraphicsPath();
    int d = radius * 2;

    path.AddLine(r.Left + d, r.Top, r.Right - d, r.Top);
    path.AddArc(Rectangle.FromLTRB(r.Right - d, r.Top, r.Right, r.Top + d), -90, 90);
    path.AddLine(r.Right, r.Top + d, r.Right, r.Bottom - d);
    path.AddArc(Rectangle.FromLTRB(r.Right - d, r.Bottom - d, r.Right, r.Bottom), 0, 90);
    path.AddLine(r.Right - d, r.Bottom, r.Left + d, r.Bottom);
    path.AddArc(Rectangle.FromLTRB(r.Left, r.Bottom - d, r.Left + d, r.Bottom), 90, 90);
    path.AddLine(r.Left, r.Bottom - d, r.Left, r.Top + d);
    path.AddArc(Rectangle.FromLTRB(r.Left, r.Top, r.Left + d, r.Top + d), 180, 90);
    path.CloseFigure();
    return path;
}

and here is the code for Draw only (not fill), based on the same idea:

public static void DrawRoundedRectangle(Graphics graphics, Rectangle rectangle, Pen pen, int radius)
{
    if (graphics == null)
        throw new ArgumentNullException("graphics");

    SmoothingMode mode = graphics.SmoothingMode;
    graphics.SmoothingMode = SmoothingMode.AntiAlias;

    using (GraphicsPath path = RoundedRectangle(rectangle, radius))
    {
        graphics.DrawPath(pen, path);
    }
    graphics.SmoothingMode = mode;
}