The best way would be to draw in the paint event, then you can use GDI+ to draw the square using FillRectangle with a color set to yellow with alpha blending.
For example: (in paint event)
e.Graphics.FillRectangle(New SolidBrush(Color.FromArgb(100, 0, 255, 255)), 100, 100, 100, 100)
'draw a rectangle using solid brush with alphablending
Also, do you want the user to be able to draw more than one rectangle?