I did a quick lok into the API guide and made some entries in the code.
All the points having a depth of 2,10,20,30,50 and 100 will create a seperate region that will be filled in a color.
Note: -1- The regions should be closed and not overlapping (which they are in your case). So you have to play around with it, probably make more regions for a depth to show it correctly. Play around with the sequence, when drawing (first the deep part or vice versa)
-2- all the infomrmation on your map is beeing brushed over by those colored regions, I don't think that you are comfortable with that!

Code:
Private Type Point
    Longitude As Long
    Latitude As Long
End Type
Private Declare Function CreatePolygonRgn Lib "gdi32" (lpPoint As Any, ByVal nCount As Long, ByVal nPolyFillMode As Long) As Long
Private Declare Function Polygon Lib "gdi32" (ByVal hdc As Long, lpPoint As Any, ByVal nCount As Long) As Long
Private Declare Function FillRgn Lib "gdi32" (ByVal hdc As Long, ByVal hRgn As Long, ByVal hBrush As Long) As Long
Private Declare Function DeleteObject Lib "gdi32" (ByVal hObject As Long) As Long
Private Declare Function CreateSolidBrush Lib "gdi32" (ByVal crColor As Long) As Long
Const ALTERNATE = 1 ' ALTERNATE and WINDING are
Const WINDING = 2 ' constants for FillMode.
Dim PicHght As Long 'the height of your picturebox
Dim PicWdth As Long 'the width of your picturebox
Dim MapHght As Double 'the height of your map
Dim MapWdth As Double 'the width of your picturebox
Dim Map0X As Double 'the maximum X or width of your map
Dim Map0Y As Double 'the maximum Y or height of your map
Dim arrDepth(1000, 1000) As Single
Dim Region2() As Point
Dim Region10() As Point
Dim Region20() As Point
Dim Region30() As Point
Dim Region50() As Point
Dim Region100() As Point
Dim Region2Count As Integer
Dim Region10Count As Integer
Dim Region20Count As Integer
Dim Region30Count As Integer
Dim Region50Count As Integer
Dim Region100Count As Integer

Private Sub Form_load()
Dim filenr As Long
Dim filename As String
Dim data As String
Dim i As Integer
Dim j As Integer
Dim Latitude As Single
Dim Longitude As Single
Dim Depth As Single
Dim Changer As Single
With Picture1
          .AutoRedraw = True
          .ScaleMode = vbPixels
          PicHght = .ScaleHeight
          PicWdth = .ScaleWidth
     End With
     'Map0X = 101.46667
     'Map0Y = 2.85667
     'MapWdth = 99.7 - Map0X
     'MapHght = 4.01666 - Map0Y
        Map0X = 99.7
        Map0Y = 4.01666
        MapWdth = 101.46667 - Map0X
        MapHght = 2.85667 - Map0Y
     
filenr = FreeFile
'put your filepath in here!!!!
'filename = "C:\XXX\depth.txt"

filename = "D:\Testing\ENC Project\Setting\SampleExtract.txt"

Open filename For Input As filenr
Do
Input #filenr, data
If Not data = "" Then
    Longitude = Val(Left(data, InStr(1, data, " ") - 1))
    data = Mid(data, InStr(1, data, " ") + 1)
    Latitude = Val(Left(data, InStr(1, data, ";") - 1))
    data = Mid(data, InStr(1, data, ";") + 1)
    Depth = CSng(data)
    If Longitude < Latitude Then
        Changer = Longitude
        Longitude = Latitude
        Latitude = Changer
    End If
    arrDepth(GetX(Longitude), GetY(Latitude)) = Depth
    CreateRegion GetX(Longitude), GetY(Latitude), Depth
    Picture1.PSet (GetX(Longitude), GetY(Latitude))
End If
Loop Until EOF(filenr)
Close filenr
'fill regions
FillRegions Region2, UBound(Region2) - 1, vbYellow
FillRegions Region10, UBound(Region10) - 1, vbGreen
FillRegions Region20, UBound(Region20) - 1, vbBlue
FillRegions Region30, UBound(Region30) - 1, vbRed
FillRegions Region50, UBound(Region50) - 1, vbWhite
FillRegions Region100, UBound(Region100) - 1, vbBlack
End Sub
Private Function GetLatitude(y As Single) As Double
 GetLatitude = Round((y * MapHght / PicHght) + Map0Y, 5)
End Function

Private Function GetLongitude(x As Single) As Double
 GetLongitude = Round((x * MapWdth / PicWdth) + Map0X, 5)
End Function

Private Function GetY(Latitude As Single) As Long
 GetY = (Latitude - Map0Y) * PicHght / MapHght
End Function

Private Function GetX(Longitude As Single) As Long
 GetX = (Longitude - Map0X) * PicWdth / MapWdth
End Function

Private Sub Picture1_MouseMove(Button As Integer, Shift As Integer, x As Single, y As Single)
Picture1.ToolTipText = "x=" & CStr(x) & " y=" & CStr(y) & "Lat=" & CStr(GetLatitude(y)) & " Long=" & CStr(GetLongitude(x)) & " Depth: " & CStr(arrDepth(x, y))

End Sub

Private Sub CreateRegion(Longitude As Long, Latitude As Long, Depth As Single)
'will add the coordinates to the region of this depth
'only depth of 2, 10,20,30,50,100 are supported!
Dim i As Integer
Select Case Depth
    Case Is = 2
            Region2Count = Region2Count + 1
            ReDim Preserve Region2(Region2Count)
            Region2(Region2Count - 1).Latitude = Latitude
            Region2(Region2Count - 1).Longitude = Longitude
    Case Is = 10
            Region10Count = Region10Count + 1
            ReDim Preserve Region10(Region10Count)
            Region10(Region10Count - 1).Latitude = Latitude
            Region10(Region10Count - 1).Longitude = Longitude
    Case Is = 20
            Region20Count = Region20Count + 1
            ReDim Preserve Region20(Region20Count)
            Region20(Region20Count - 1).Latitude = Latitude
            Region20(Region20Count - 1).Longitude = Longitude
    Case Is = 30
            Region30Count = Region30Count + 1
            ReDim Preserve Region30(Region30Count)
            Region30(Region30Count - 1).Latitude = Latitude
            Region30(Region30Count - 1).Longitude = Longitude
    Case Is = 50
            Region50Count = Region50Count + 1
            ReDim Preserve Region50(Region50Count)
            Region50(Region50Count - 1).Latitude = Latitude
            Region50(Region50Count - 1).Longitude = Longitude
    Case Is = 100
            Region100Count = Region100Count + 1
            ReDim Preserve Region100(Region100Count)
            Region100(Region100Count - 1).Latitude = Latitude
            Region100(Region100Count - 1).Longitude = Longitude
End Select

End Sub

Private Sub FillRegions(Region() As Point, NumPoints As Long, color As Long)
Dim hBrush As Long
Dim hRgn As Long
Polygon Picture1.hdc, Region(0), NumPoints
' Gets stock black brush.
'hBrush = GetStockObject(color)
hBrush = CreateSolidBrush(color)
' Creates region to fill with color.
hRgn = CreatePolygonRgn(Region(0), NumPoints, ALTERNATE)
' If the creation of the region was successful then color.
If hRgn Then FillRgn Picture1.hdc, hRgn, hBrush
DeleteObject hRgn
End Sub