You can define your own \floatstyle. In this case I took the definition from the float package and adjusted it to use the mdframed pacakge environment to draw the frame. Below, I took the liberty to add a background color, and tikzsetting to illustrate some of the customization that are possible -- see the mdframed documentation for more options.
Here is a comparrison of usine \floatstyle{boxed} and \floatstyle{myRoundBox}:

\documentclass{article}
\usepackage{graphicx}
\usepackage{float}
\usepackage[framemethod=tikz]{mdframed}
\mdfdefinestyle{myFigureBoxStyle}{backgroundcolor=yellow!10,, roundcorner=25pt,tikzsetting={draw=blue, line width=1pt}}%
\makeatletter
\newcommand\fs@myRoundBox{\def\@fs@cfont{\bfseries}\let\@fs@capt\floatc@plain
\def\@fs@pre{\begin{mdframed}[style=myFigureBoxStyle]}%
\def\@fs@mid{}%
\def\@fs@post{\end{mdframed}}\let\@fs@iftopcapt\iffalse}
\makeatother
\floatstyle{myRoundBox}
\restylefloat{figure}
\begin{document}
\floatstyle{boxed}
\restylefloat{figure}
\section{Using boxed}
\begin{figure}[h]
\centering
\includegraphics[width=0.35\textwidth]{images/eiffel_tower}
\caption{Some caption}
\end{figure}
\floatstyle{myRoundBox}
\restylefloat{figure}
\section{Using myRoundBox}
\begin{figure}[h]
\centering
\includegraphics[width=0.35\textwidth]{images/eiffel_tower}
\caption{Some caption}
\end{figure}
\end{document}
mdframed. – Marco Daniel Oct 14 '11 at 10:18fancyboxpackage provides a\ovalboxmacro which might be useful here. – Martin Scharrer♦ Nov 3 '11 at 7:16