puoi risolvere in questo modo:
codice:
Public Class Form1

    Dim myPath As New Drawing2D.GraphicsPath

    Private Sub Form1_Load(ByVal sender As Object, ByVal e As System.EventArgs) Handles Me.Load
        myPath.StartFigure()
        myPath.AddEllipse(20, 30, 50, 35)
        myPath.CloseFigure()
    End Sub

    Private Sub PictureBox1_MouseClick(ByVal sender As Object, ByVal e As System.Windows.Forms.MouseEventArgs) Handles PictureBox1.MouseClick
        If myPath.IsVisible(PictureBox1.PointToClient(MousePosition)) Then MessageBox.Show("Click")
    End Sub

    Private Sub PictureBox1_Paint(ByVal sender As Object, ByVal e As System.Windows.Forms.PaintEventArgs) Handles PictureBox1.Paint
        e.Graphics.DrawEllipse(Pens.Blue, 20, 30, 50, 35)
    End Sub

End Class