Across the top of your window should be the option bar with a box for Feather. Set it to zero before you make the selection. You can always feather the selection afterward. Moreover, here is another process you can use. Leave the Feather always set to 0. Make your selection. Then hit Q to enter Quick Mask Mode (you can also click the Quick Mask icon near the bottom of your tool bar. Now go Filter > Blur > Gaussian Blur. As you increase the setting you will feather the selection and at the same time you can preview exactly how the feather will look. When your done, just hit the Q again to exit Quick Mask mode and your selection will be feathered.
Another option is available if you have
PS CS3 only. After making your selection go Select >Refine Edge. From there you can feather and see a preview.
Regards, Murray