I don't believe it's supported by the .NET Framework, but if you don't mind
doing PInvoke you can use the Windows regions APIs.

using System;
using System.Windows.Forms;
using System.Runtime.InteropServices;

namespace RegionsDemo
{
   public partial class RegionsDemoForm : Form
   {
       [DllImport( "gdi32.dll" )]
       static extern IntPtr CreateRectRgn( int nLeftRect, int nTopRect, int
nRightRect, int nBottomRect );

       public enum CombineRgnStyles : int
       {
           RGN_AND = 1,
           RGN_OR = 2,
           RGN_XOR = 3,
           RGN_DIFF = 4,
           RGN_COPY = 5,
           RGN_MIN = RGN_AND,
           RGN_MAX = RGN_COPY
       }

       [DllImport( "gdi32.dll" )]
       static extern int CombineRgn( IntPtr hrgnDest, IntPtr hrgnSrc1,
IntPtr hrgnSrc2, CombineRgnStyles fnCombineMode );

       [DllImport( "user32.dll" )]
       static extern int SetWindowRgn( IntPtr hWnd, IntPtr hRgn, bool
bRedraw );

       [DllImport( "gdi32.dll" )]
       static extern bool DeleteObject( IntPtr hObject );

       public RegionsDemoForm()
       {
           InitializeComponent();
           AddTransparentRegion();
       }

       private void AddTransparentRegion()
       {
           IntPtr windowRgn = CreateRectRgn( 0, 0, this.Width,
this.Height );
           IntPtr areaRgn = CreateRectRgn( 50, 50, 200, 200 );
           IntPtr combinedRgn = CreateRectRgn( 0, 0, 0, 0 );

           CombineRgn( combinedRgn, windowRgn, areaRgn,
CombineRgnStyles.RGN_XOR );

           SetWindowRgn( this.Handle, combinedRgn, true );

           DeleteObject( combinedRgn );
           DeleteObject( areaRgn );
           DeleteObject( combinedRgn );
       }

       private void Form1_Resize( object sender, EventArgs e )
       {
           AddTransparentRegion();
       }

   }
}