I used the answer over at How do I create a round cornered UILabel on the iPhone? and the code from How is a rounded rect view with transparency done on iphone? to make this code. 
Then I realized I'd answered the wrong question (gave a rounded UILabel instead of UIImage) so I used this code to change it:
http://discussions.apple.com/thread.jspa?threadID=1683876
Make an iPhone project with the View template. In the view controller, add this:
- (void)viewDidLoad
{
    CGRect rect = CGRectMake(10, 10, 200, 100);
    MyView *myView = [[MyView alloc] initWithFrame:rect];
    [self.view addSubview:myView];
    [super viewDidLoad];
}
MyView is just a UIImageView subclass:
@interface MyView : UIImageView
{
}
I'd never used graphics contexts before, but I managed to hobble together this code. It's missing the code for two of the corners. If you read the code, you can see how I implemented this (by deleting some of the CGContextAddArc calls, and deleting some of the radius values in the code. The code for all corners is there, so use that as a starting point and delete the parts that create corners you don't need. Note that you can make rectangles with 2 or 3 rounded corners too if you want.
The code's not perfect, but I'm sure you can tidy it up a little bit. 
static void addRoundedRectToPath(CGContextRef context, CGRect rect, float radius, int roundedCornerPosition)
{
    // all corners rounded
    //  CGContextMoveToPoint(context, rect.origin.x, rect.origin.y + radius);
    //  CGContextAddLineToPoint(context, rect.origin.x, rect.origin.y + rect.size.height - radius);
    //  CGContextAddArc(context, rect.origin.x + radius, rect.origin.y + rect.size.height - radius, 
    //                  radius, M_PI / 4, M_PI / 2, 1);
    //  CGContextAddLineToPoint(context, rect.origin.x + rect.size.width - radius, 
    //                          rect.origin.y + rect.size.height);
    //  CGContextAddArc(context, rect.origin.x + rect.size.width - radius, 
    //                  rect.origin.y + rect.size.height - radius, radius, M_PI / 2, 0.0f, 1);
    //  CGContextAddLineToPoint(context, rect.origin.x + rect.size.width, rect.origin.y + radius);
    //  CGContextAddArc(context, rect.origin.x + rect.size.width - radius, rect.origin.y + radius, 
    //                  radius, 0.0f, -M_PI / 2, 1);
    //  CGContextAddLineToPoint(context, rect.origin.x + radius, rect.origin.y);
    //  CGContextAddArc(context, rect.origin.x + radius, rect.origin.y + radius, radius, 
    //                  -M_PI / 2, M_PI, 1);
    // top left
    if (roundedCornerPosition == 1) {
        CGContextMoveToPoint(context, rect.origin.x, rect.origin.y + radius);
        CGContextAddLineToPoint(context, rect.origin.x, rect.origin.y + rect.size.height - radius);
        CGContextAddArc(context, rect.origin.x + radius, rect.origin.y + rect.size.height - radius, 
                        radius, M_PI / 4, M_PI / 2, 1);
        CGContextAddLineToPoint(context, rect.origin.x + rect.size.width, 
                                rect.origin.y + rect.size.height);
        CGContextAddLineToPoint(context, rect.origin.x + rect.size.width, rect.origin.y);
        CGContextAddLineToPoint(context, rect.origin.x, rect.origin.y);
    }   
    // bottom left
    if (roundedCornerPosition == 2) {
        CGContextMoveToPoint(context, rect.origin.x, rect.origin.y);
        CGContextAddLineToPoint(context, rect.origin.x, rect.origin.y + rect.size.height);
        CGContextAddLineToPoint(context, rect.origin.x + rect.size.width, 
                                rect.origin.y + rect.size.height);
        CGContextAddLineToPoint(context, rect.origin.x + rect.size.width, rect.origin.y);
        CGContextAddLineToPoint(context, rect.origin.x + radius, rect.origin.y);
        CGContextAddArc(context, rect.origin.x + radius, rect.origin.y + radius, radius, 
                        -M_PI / 2, M_PI, 1);
    }
    // add the other corners here
    CGContextClosePath(context);
    CGContextRestoreGState(context);
}
-(UIImage *)setImage
{
    UIImage *img = [UIImage imageNamed:@"my_image.png"];
    int w = img.size.width;
    int h = img.size.height;
    CGColorSpaceRef colorSpace = CGColorSpaceCreateDeviceRGB();
    CGContextRef context = CGBitmapContextCreate(NULL, w, h, 8, 4 * w, colorSpace, kCGImageAlphaPremultipliedFirst);
    CGContextBeginPath(context);
    CGRect rect = CGRectMake(0, 0, w, h);
    addRoundedRectToPath(context, rect, 50, 1);
    CGContextClosePath(context);
    CGContextClip(context);
    CGContextDrawImage(context, rect, img.CGImage);
    CGImageRef imageMasked = CGBitmapContextCreateImage(context);
    CGContextRelease(context);
    CGColorSpaceRelease(colorSpace);
    [img release];
    return [UIImage imageWithCGImage:imageMasked];
}
alt text http://nevan.net/skitch/skitched-20100224-092237.png
Don't forget that you'll need to get the QuartzCore framework in there for this to work.