背景はPanelの中にPictureBox貼って背景イメージを割り当ててるだけなので省略。

public Form1() {
InitializeComponent();

this.panel1.Dock = DockStyle.Fill;

Bitmap bmp = new Bitmap(40, 40);
Graphics g = Graphics.FromImage(bmp);

this.pictureBox2.Location = new Point(10,10);
this.pictureBox2.SizeMode = PictureBoxSizeMode.StretchImage;
this.pictureBox2.Size = new Size(bmp.Width, bmp.Height);
this.pictureBox2.Refresh();

Rectangle r = new Rectangle(0, 0, bmp.Width, bmp.Height);
g.FillRectangle(Brushes.White, r);
Pen pen = new Pen(Color.Black, 8);
g.DrawRectangle(pen, r);
pen.Dispose();
g.Dispose();

bmp.MakeTransparent(Color.White);
this.pictureBox2.Image = bmp;
}