Take a look at this: http://msdn.microsoft.com/en-us/library/system.windows.forms.control.region.aspx
The Form class inherits from the Control class, so try doing the same sample that you have on the link to the Form's Region property (and do it on the form event of course):
// This method will change the square button to a circular button by
// creating a new circle-shaped GraphicsPath object and setting it
// to the RoundButton objects region.
private void roundButton_Paint(object sender,
System.Windows.Forms.PaintEventArgs e)
{
System.Drawing.Drawing2D.GraphicsPath buttonPath =
new System.Drawing.Drawing2D.GraphicsPath();
// Set a new rectangle to the same size as the button's
// ClientRectangle property.
System.Drawing.Rectangle newRectangle = roundButton.ClientRectangle;
// Decrease the size of the rectangle.
newRectangle.Inflate(-10, -10);
// Draw the button's border.
e.Graphics.DrawEllipse(System.Drawing.Pens.Black, newRectangle);
// Increase the size of the rectangle to include the border.
newRectangle.Inflate( 1, 1);
// Create a circle within the new rectangle.
buttonPath.AddEllipse(newRectangle);
// Set the button's Region property to the newly created
// circle region.
roundButton.Region = new System.Drawing.Region(buttonPath);
}