Create a gradient between inner and outer ellipses

...or any other enclosed shapes.
Product: Adobe Photoshop Elements 3.0
O.S.: Windows XP, SP 3
I've searched the product Help and this forum, but am unable to find a solution to my problem.
I'd like to use Adobe Photoshop Elements 3.0 to create an elliptically-shaped mask for use in Adobe Premiere CS3. The idea is to create two concentric ellipses of equal eccentricity. The area outside the outer ellipse is black; the area inside the inner ellipse is transparent. The area between the two elliptical boundaries is the gradient. This creates a soft-edged cameo effect in Premiere's video.
I'm able to make a circular cameo with the Radial gradient, but have not found a way to make an arbitrarily shaped (in this case, elliptical) one.
* Is there a way to do this at all?
* Do I need a more recent version of Photoshop than Elements 3.0?
Thanks for any help.
-Larry Byler-

If I understand correctly, you want the mask to be an ellipse that provides a vignette effect (i. e., gradually fading from the edge).
If you have added one of the tool sets (such as Grant Dixon's Tools) that allow you to add masks, you can do this as follows:
-- add a mask to your layer
-- click on the mask icon to select it
-- used the marquee tool to draw an ellipse on the mask
-- hit CTRL-I to invert the mask
-- fill the selection with black
-- open the Gaussian blur filter
-- check the Preview box
-- select a level of blur that gives you the degree of fade-in you want.
If you do not have mask capability you can achieve the same effect with a clipping group.
-- create a layer below the layer you want to mask and clip it to the other (alt-G, if I remember correctly)
-- click on the lower layer and then follow the steps above (from the 3rd one on)

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