Well, I'm getting back into GDI, and I came across my old first attempt, which was in c#. I converted it to VB.NET, and saw no errors. However, when I tested it out, the button would stay the color for the MouseDown state until I closed the MessageBox that it opens. Any ideas?
GDI -
Public Class BasicButton
Inherits Control
Public Enum MouseState
    Normal
    Down
End Enum
Private _mouseState As MouseState = MouseState.Normal
Protected Overrides Sub CreateHandle()
    MyBase.CreateHandle()
End Sub
Protected Overrides Sub OnPaint(e As PaintEventArgs)
    Dim g = e.Graphics
    Select Case _mouseState
        Case MouseState.Normal
            g.FillRectangle(Brushes.Orange, ClientRectangle)
            Exit Select
        Case MouseState.Down
            g.FillRectangle(Brushes.DarkOrange, ClientRectangle)
            Exit Select
    End Select
    MyBase.OnPaint(e)
    Dim sf As New StringFormat()
    sf.LineAlignment = StringAlignment.Center
    sf.Alignment = StringAlignment.Center
    g.DrawString(Text, Font, New SolidBrush(Color.White), New Rectangle(0, 0, Width, Height), sf)
End Sub
Private Sub SwitchMouseState(state As MouseState)
    _mouseState = state
    Invalidate()
End Sub
Protected Overrides Sub OnMouseUp(e As MouseEventArgs)
    SwitchMouseState(MouseState.Normal)
    MyBase.OnMouseUp(e)
End Sub
Protected Overrides Sub OnMouseDown(e As MouseEventArgs)
    SwitchMouseState(MouseState.Down)
    MyBase.OnMouseDown(e)
End Sub
End Class
Button -
Private Sub BasicButton1_Click(sender As Object, e As EventArgs) Handles BasicButton1.Click
    MessageBox.Show("Text")
End Sub
				
                        
MessageBox.Showis a blocking method that gets called between OnMouseDown and OnMouseUp. Basically, your OnMouseUp code is not called until after the MessageBox.Show method returns.