There is more than one way to do this but I think this is the easiest way.
~Use the lasso tool to draw around your photo. You can get very close up or you can have more of the background showing. I prefer to get closer up but it is okay if you don't you can go back and clean it up later.
~Then go to Select>>Feather
I usually feather mine to around 10 or 20 pixels but you can play around with this and see what you like best.
~Then copy and paste into a new document.
~Once you do this you may still have some of the background left. Select a large eraser brush and set the hardness to 0. Then you can go around the edges with it to soften it up. I didn't do the best job with this but you can get the idea.
That is it!