Puoi fare qualcosa del genere:
codice:
Public Class Form1

    Dim x1 As Integer
    Dim y1 As Integer
    Dim x2 As Integer
    Dim y2 As Integer
    Dim nClick As Integer = 0

    Private Sub PictureBox1_MouseClick(ByVal sender As Object, ByVal e As System.Windows.Forms.MouseEventArgs) Handles PictureBox1.MouseClick

        nClick += 1
        Select Case nClick
            Case 1
                x1 = e.X
                y1 = e.Y
            Case 2
                x2 = e.X
                y2 = e.Y
        End Select

        PictureBox1.Invalidate()

    End Sub

    Private Sub PictureBox1_Paint(ByVal sender As Object, ByVal e As System.Windows.Forms.PaintEventArgs) Handles PictureBox1.Paint

        Dim pbGraphic As Graphics = e.Graphics

        Select Case nClick
            Case 1
                pbGraphic.DrawEllipse(Pens.Blue, x1, y1, 1, 1)
            Case 2
                pbGraphic.DrawLine(Pens.Blue, x1, y1, x2, y2)
                nClick = 0
        End Select


    End Sub

End Class
E' solo uno spunto da cui partire...

e Buon Natale