How to get the corners of a picture slightly darker when taken?

What filter might I need or what setting configuration do I use, I have a Nikon D3100

Well it's easiest to do afterwards on the computer but an alternative is to use a round lens hood that is slightly too narrow. I use a 35mm hood on my 24mm lens for this sometimes.

Just stack several filters on it and zoom in.

Vignetting usually either a mistake (using the wrong lens hood or stacking too may filters on a wide angle lens) or done in post production using a program like Photoshop CS5 or Photoshop Elements.

Vignetting is usually something only portrait and wedding photographers use when producing prints. The rest of the world sees vignetting as a mistake or is caused by some very cheap lenses