Hello.

I have a doubt about if there a custom class or something similar for that purpose in .Net Framework (for Windows Form).

But that's doesn't stop you from implementing it by yourself. Steps could be something like this:
1. Define the data structure, that will store the history of what your user visited (depends on what data you need to load the form/screen/whatewer to return back to given state).
2. Define the Control, that will move through your history.

Sure.
Here's pretty interesting class for history handling (with example project): Navigational history (go back/forward) for WinForms controls
It has basic functionality, but you can widen it any time you want