How to addhandler to a shape

There are a couple of problems here - the first is that you are creating your own Graphics object, but you aren't releasing it. That's bad: Graphics handles are a scarce resource, and if you do that too often, your app will crash. I'd recommend a Using block:

Using myGraphics As Graphics = Me.CreateGraphics
   Dim myRectangle As New Rectangle
   myRectangle.X = 10
   myRectangle.Y = 10
   myRectangle.Width = 200
   myRectangle.Height = 200
   myGraphics.DrawEllipse(myPen, myRectangle)
End Using

As it will handle it all for you.
Secondly, that will draw an ellipse - once. But it won't be "persistent" - if you move another app over the top, the ellipse will disappear when you app is displayed again. To prevent that, move the drawing code into the Paint event handler, and use the Graphics context provided by the event argument. That means the ellipse is persisted, and you don't need to create (or destroy) your own graphics context.

Clicking the ellipse is another problem: only controls can respond to mouse events - so if you want to detect when the ellipse was clicked, you need to handle the Click event for the control you drew the ellipse onto, and check if the click is inside or outside the actual ellipse.
That's not as simple as it might seem, because although you know the dimensions of the bounding rectangle that defines the ellipse, not all of the area inside that rectangle is inside the ellipse, and you don't know which parts are!
To do that, you need to create an elliptical path and test that:

Private Sub myDrawing_MouseClick(sender As Object, e As MouseEventArgs)
	Dim path As New GraphicsPath()
	path.AddEllipse(0, 0, 200, 100)
	If path.IsVisible(e.Location) Then
		Console.WriteLine("YES")
	Else
		Console.WriteLine("NO")
	End If
End Sub