Trouble with "Convert mesh to curve"

I have a mesh consisting of two lines of vertices parallel to each other. I converted it to a curve, and now I connected the endpoints of the lines together to form a sort of square. I want to have smoothing on the corners like I would regularly have by changing the “Preview U” under resolution in the curve settings, but no matter how high I set the preview U, it always remains squared. I want to be able to set the smoothness without needing to add vertices.
Any help will be appreciated.

Tool shelf has set spline type button where you can change it to a bezier curve (or what you need) and then you can change handle type to something more suitable (V key). Should make more sense after that.

Thanks a lot! I completely forgot that option.