hola RoundRect es el api que buscas, a lo mismo que CreateRoundRectRgn los dos ultimos parametros son para indicar el redondeado de las puntas.
Option Explicit
Private Declare Function RoundRect Lib "gdi32" (ByVal hdc As Long, ByVal X1 As Long, ByVal Y1 As Long, ByVal X2 As Long, ByVal Y2 As Long, ByVal X3 As Long, ByVal Y3 As Long) As Long
Private Sub Form_Paint()
RoundRect Me.hdc, 10, 20, 200, 50, 12, 12
End Sub
Saludos.