GraphicsPath windowShape = new GraphicsPath();
windowShape.AddEllipse(0, 0, 320, 200);
this.Region = new Region(windowShape);
The GraphicsPath has methods to create wiondows of other shapes too.
I am not sure but I think it was not this straight forward in the MFC/Win32 programming world. Thanks to C#.NET. I love this 3 lines of code.