MX has the 'Rounded Rectangle Tool' designed specifically for this.
Foireworks 3 is a little different, this is from memory. I believe you double click the 'Rectangle Tool' icon on the left and bring up the properties for the tool, one of them being the round corner setting. Enter a value between 0-100, then draw your rectangle. You cannot change the value of the drawn rectangle, so if it's not what you wanted, change the value and draw another rectangle.