Rounding "in place" is possible, but it needs a macro.
Install the following event macro in the worksheet code area:
Private Sub Worksheet_Change(ByVal Target As Range)
Set r = Range("A:A")
If Intersect(r, Target) Is Nothing Then Exit Sub
Set t = Target
Application.EnableEvents = False
t.Value = Application.WorksheetFunction.Round(t.Value, 0)
Application.EnableEvents = True
End Sub
Because it is worksheet code, it is very easy to install and use:
1. right-click the tab name near the bottom of the window
2. select View Code - this brings up a VBE window
3. paste the stuff in and close the VBE window
If you save the workbook, the macro will be saved with it.
To remove the macro:
1. bring up the VBE windows as above
2. clear the code out
3. close the VBE window
To learn more about macros in general, see:
http://www.mvps.org/dmcritchie/excel/getstarted.htm
To learn more about Event Macros (worksheet code), see:
http://www.mvps.org/dmcritchie/excel/event.htm