How can I make a rounded corner grid?

A better solution is how the border and grid orders are defined in the XAML. For instance, this scheme works to mask the square grid corners underneath the rounded border and while the main grid is transparent:

<Window x:Class="Class.Window"
    xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
    xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
    Title="Window1" Width="379" Loaded="Window_Loaded"
    AllowsTransparency="True"
    ResizeMode="NoResize" ShowInTaskbar="False" Topmost="True" WindowStyle="None" 
    Height="110" Background="Transparent">    

    <Grid Background="Transparent">
        <Grid Background="White" Margin="4">
            <!-- ...place functional control elements here... -->
        </Grid>

        <Border CornerRadius="12,12,12,12" BorderThickness="6" Padding="4">
            <!-- ...set your desired border brush color here... -->
        </Border>
    </Grid>
</Window>

As it is not entirely clear what you are trying to do, I guess you want a window with rounded corners and transparent background. Your solution is correct, you just have to set the Window background transparency and a background for the Border.

<Window x:Class="Class.Window"
    xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
    xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
    Title="Window1" Width="379" Loaded="Window_Loaded"
    AllowsTransparency="True"
    ResizeMode="NoResize" ShowInTaskbar="False" Topmost="True" WindowStyle="None" Height="110" Background="Transparent">    
    <Border Background="White" BorderBrush="Black" BorderThickness="1,1,1,1" CornerRadius="30,30,30,30">
        <Grid>
            <TextBlock Height="23" HorizontalAlignment="Left" Margin="62,12,0,0" Name="textBlock_From" Text="" VerticalAlignment="Top" Width="283" />
            <TextBlock Height="23" HorizontalAlignment="Left" Margin="62,38,0,0" Name="textBlock_Subject" Text="" VerticalAlignment="Top" Width="283" 
                   MouseLeftButtonDown="textBlock_Subject_MouseLeftButtonDown" MouseEnter="textBlock_Subject_MouseEnter" MouseLeave="textBlock_Subject_MouseLeave" />
        </Grid>
    </Border>
</Window>