First, one advice: post question only in one thread. This will allow us follow this thread and answer your questions much easy.

Put on your form CheckBox and change it style to Graphical. Use following properties:

Picture (picture in normal state);
Disabled picture (picture when CheckBox is disabled);
Down picture (picture when CheckBox is checked (in graphical style - when it's down)).

In your case, catch these mouse events:

MouseDown (user press some mouse button. You can discover button using button parameter);
MouseMove (user moves mouse over CheckBox);
MouseUp (user releases some mouse button).

In these events set described picture properties with needed pictures, using LoadPicture() function.