From: Daniel Piechnick
Hi Kevin. After using the Rounded Rectangle tool (the Shape Tool), it should make a "path". A path is a line that stretches betwen two or more points, in a smooth, curved fashion. Once you've got your path on the screen, right-click it and click "Make Selection". (If you have changed the settings in Photoshop, and no path appears, just ignore this bit.) You'll need to make a new layer. It's quite possible you were trying to drag a gradient across a text layer, which can't be done. On your new layer, apply the gradient as usual. :)
