How can I make border radius around the slider?

You should turn on the Expert mode and go to the Slider's settings, and on the General tab, under the slider type settings you will see a border radius option, where you can enter the value you want, you just need to enter this css code too, to the slider's css field, if you are using simple slider type:

overflow:hidden;
z-index:2;

Free version

In the free version, it can only be done with custom coding, e.g.: 

#n2-ss-1 {
       border-radius: 10px; border: 5px solid red; 
} 

where the 1 in n2-ss-1 is the slider ID.