Please note: I wrote this guide using Premiere Pro CS4 but you can follow this guide with any version of Premiere as early as Pro 1.0
1) Put on any video track of your choice the clip that you wish to mask.
2) Now, go to "File" > "New" > "Title". Give the title the name you wish (for example Mask1) - if you are using PPCS4, mind the AR and the fps when making it.
3) In the Title creation window, choose the Pen Tool (Shortcut P on your keyboard) from the title tools.
4) Now, draw the mask. There is a very good guide for how to use the pen tool on the org, and you can find the pdf of it here
(props for making the pen tool guide go to DriftRoot
The only thing I'd like to point out is that, AFAIK, it's not possible to zoom into the title preview (but please correct me if I'm wrong, as I'm not sure about it) so since you can just go up to 100% preview, in order to have a better zoom and hence a more precise mask, I suggest you to try to work with the Windows Magnifier and see if it's any better.
5) Once the mask is drawn just right click on it and go to "Graphic Type" > "Filled Bezier". The masked area will now be filled.
6) Close the title creation window. In the project panel you'll now have the just made title. Drag it on a video track that is above
the track that you want to mask (so if your clip is on track 1, drag the title on track 2 or higher).
7) What we gotta do now is actually masking the clip, so what we're going to do is choosing from the effects the "Keying" > "Track Matte Key" one and applying it onto the clip that we wanna mask (the one that would be on track 1, following the previous example). Set the effect like so:
Matte: select the video track that has the title in it (track 2 in the example's case);
Composite Using: Matte Alpha;
Reverse: NOT checked.
Once you have done this, the mask will be done. If you wish to apply some feather, just apply a blur effect on the title (I personally like the gaussian blur, but you're free to choose the one you prefer, really).
This would be it. I think that most of you already knew about it, but since it's not that
immediate to think about, I decided to make this guide for those that didn't realize about this possibility.
Hope this helps.