InDesign - rounded corners

Yes, this is possible! And quite easy too

Select a frame, open the Corner Effects dialog box:

Or as Adobe write:

Apply corner effects

- Using a selection tool, select a path.
- Choose Object > Corner Options.
- Choose a corner effect in the Effect menu.
For Size, type a value to specify the radius by which the corner effect extends from each corner point.
- Select Preview if you want to see the results of the effect before applying it. Then click OK.

Check out Adobes site: http://livedocs.adobe.com/en_US/InDesign/5.0/help.html?content=WSa285fff53dea4f8617383751001ea8cb3f-6bf1.html

Or:

http://www.indesignsecrets.com/make-one-or-more-round-corners-on-an-indesign-frame.php

And these seem to be old (and dead links......)

indesign-cs-rounded-corners/

or try this one:
http://www.uwec.edu/help/InDesignCS/corner-effects.htm