I suggest you use WPF instead. With VB.NET and .NET Framework 3 and later, you can use WPF which is based on DirectX, provides its performance, but is millions time easier and safer to use.
Thank you for clarifications. Please see my comment to the question, in reply to the comment on transparent window and rectangle. As I say, you need to start with overview and simple things, but transparency is not actually one of the problems, unlike Forms. Please start here:
Most likely, you will be able to proceed by yourself. If you face some problems, ask some more specific questions.