Hey Linda,
I was reading an article (it was either MSDN or VisualStudio Magazine) that talked about this. Unfortunatly, there is no way to just draw a shape on a web form like you can on a windows form. However, the article did recommend using the system.drawing (I believe that was the library) to dynamically create shapes to display in image controls on your web form.
Personal opinion: if you don't need them to be dynamic, just use paint and copy the images in.
Jack