Well what you do is you set the borderstyle to borderless. Making it so that the form doesn't have a border, then you develop your own graphics to the border that you see fit. Like you could create a picture that has a border and then set that picture to the background making it look like your form has a border to it. Then you setup your own buttons and menu bar.

So what the user see's is a border, but it really is part of the background picture and whatever buttons and menu's they've setup.

Doing GUI's requires some artistic talent, some ingenuity, and a lot of patience. They can look really cool with little effort, but you have to be clever.