I am attaching the code here. I will update the post once I get some perfect solution for this.

 Private m_Drawing As Boolean = False
    Private m_List As List(Of Point) = Nothing
    Private Sub MyPic_MouseDown(ByVal sender As System.Object, ByVal e As System.Windows.Forms.MouseEventArgs) Handles MyPic.MouseDown
        If e.Button = Windows.Forms.MouseButtons.Left Then
            m_Drawing = True
        End If
    End Sub
    Private Sub MyPic_MouseUp(ByVal sender As System.Object, ByVal e As System.Windows.Forms.MouseEventArgs) Handles MyPic.MouseUp
        If m_Drawing AndAlso m_List IsNot Nothing Then
            If m_List.Count >= 2 Then
                MyPic.CreateGraphics.DrawLines(New Pen(Color.Blue, 1), m_List.ToArray())
            End If
            m_Drawing = False
            m_List.Clear()
        End If
    End Sub

    Private Sub MyPic_MouseMove(ByVal sender As System.Object, ByVal e As System.Windows.Forms.MouseEventArgs) Handles MyPic.MouseMove
        If m_List IsNot Nothing AndAlso m_Drawing Then
            m_List.Add(e.Location)
        End If
    End Sub
    Private Sub frmMain_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load
        m_List = New List(Of Point)
    End Sub

Code is pretty self explanatory. So I am not putting any comments