That can be a very complicated process and there are many ways to go about it.
you could create your own custom controls that are all drawn fancyful.
you could just overide the form's paint events and draw on the form.
you could set the forms FormBorderStyle property to "none" and then add pictureboxes around the border of you form and create a look that way...
or you could combine them all for a cheezy skin effect if you so desired.
But I warn you, creating non square forms with fancy images seems easy and fun. but its actually a lot of work. and if you intend to have nice edges or quality transparency effects, get ready to layer forms and import some windows methods. its a headache. C# wasn't really designed for fancy skins. Although its very possible.