create a square/recatangle selection with the marquee tool, then holding the shift button (a small + symbol will appear next the the cursor) change the marquee tool to a circular selection, draw a circle....this will add a circle to your current square selection.
you may find it easier to use the guides to ensure all the corners are the same
if you want i can make a quick movie to show you if ya want?
edited: got it the wrong way round...now amended