type
  TForm1 = class(TForm)
    Button1: TButton;
    procedure Button1Click(Sender: TObject);
    procedure FormCreate(Sender: TObject);
  private
    { Private declarations }
    panl: TPanel;
  public
    { Public declarations }
  end;

implementation

procedure TForm1.FormCreate(Sender: TObject);
var
  hr: hRgn;
begin
  panl := TPanel.Create(self);
  panl.Left := 10;
  panl.Top := 10;
  panl.Width := 100;
  panl.Height := 50;
  panl.ParentBackground := False;
  panl.ParentColor := False;
  panl.Color := clYellow;
  panl.Parent := self;
  hr := CreateEllipticRgn(1,1,100,50);
  SetWindowRgn(panl.Handle, hr, True);
end;