Unfortunately, for some reason your example photo didn't load on the forum properly to show the preview so i'm showing it in the below screenshot.
Although it is not shown in Jeff's download of the image which has a transparent background, I think you are trying to achieve a vignette effect with a white or lightening effect rather than the usual darkening of the edges. You can create this effect easily in the Vignette Effect found in the Guided Edit>Basics tab. In my screenshot below, I am also showing the layers in Expert Mode, created by the Guided Edit.
And here is a YouTube tutorial I created to demonstrate how to create a vignette effect with any color. If you really want to have an image fade into a transparency, let us know and we can explain how to do that too.
1. Open your picture file
2. Open a blank layer above the Background layer
3. Activate the Elliptical Marquee tool, and on the tool's option bar set the feather to 25 (experiment with this value as it determines the vignette effect) . Drag out the ellipse to embrace what you wish to retain
4. On the blank layer with the oval, fill the oval with Black (Edit>Fill Selection>Foreground color)
5. Copy the Background Layer and place the Background Copy Layer above Layer 1, then group these layers (Press CTRL+G)
6. Shut off the visibility of the background layer.
7. You will have the vignette surrounded by transparency. You can place a background behind this - any color, a gradient, a texture, etc.
Further to above