Method 3
Select the rectangle. Move the Selector Tool (the arrow pointer) inside of any of the corner resizing handles. The cursor will change to a double sided rotation arrow. Hold down the Ctrl key to constrain the angle of rotation, and drag/rotate the square 90 degrees. The direction is up to you. I have rotated mine anti-clockwise.
From the Arrange menu, and with the rotated square selected, select Convert to Editable Shapes or press Shift Ctrl s.
With the rotated square selected, switch to the Shape Tool (F4). Select all four control points by dragging a selection rectangle around the control points with the Shape Tool.
Click the Make Curves icon. Well, it’s kind of like a circle. And in truth we didn’t really need to rotate the square. It just made it all more dramatic. We can do better though, I think.