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.
[EDIT]
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:
http://msdn.microsoft.com/en-us/library/ms754130.aspx[
^].
Most likely, you will be able to proceed by yourself. If you face some problems, ask some more specific questions.
—SA