Per correttezza, per vedere anche la preview sulla PictureBox:

codice:
  Dim bmp As New Bitmap(PictureBox1.Width, PictureBox1.Height)
        Dim g As Graphics = Graphics.FromImage(bmp)
        Dim g2 As Graphics = PictureBox1.CreateGraphics
        g.Clear(Color.White)
        g.SmoothingMode = Drawing2D.SmoothingMode.AntiAlias
        g.FillEllipse(Brushes.Blue, New Rectangle(10, 10, 50, 50))
        bmp.Save("C:\myPic.bmp", System.Drawing.Imaging.ImageFormat.Bmp)
        g2.DrawImage(bmp, 0, 0)
        g.Dispose()
        g2.Dispose()