The first step is going to the project menu and adding a new User Control. Once that's code, you should be able to add two properties to it and respond to the MouseEnter and MouseLeave events (NOT Enter and Leave events) in the control to give the control the right images.
This will also make the control designable, you'll be able to drop it on to your form from the toolbar and choose the images in the propertygrid like you would in, say, a picturebox.