All System.Windows.Forms controls have a BorderStyle property. The choices of which are limited to: None, FixedSingle and Fixed3D.
Creating a "dashed-line border" requires some customization you'll have to add yourself.
I've created the following graphics that will create two different dashed border effects.
border-a.gif (easiest to get working)
border-b.gif (must be modified if height or width is divisible by 4)
Note: border-a.gif works with any height and width. border-b.gif is a little trickier to get working (but I think it looks nicer). The height and width of the container cannot be divisible by 4 or you will get an invisible border on that side. If you cannot adjust the height or width of the container, then you must modify the image.
Setting up the new BorderStyle is easist for the PictureBox control. After setting the Image for the PictureBox, set margins = "1, 1, 1, 1" and set the BackgroundImage to be one of the border gif's.
Other containers like Panels are easy to setup as well. First, set the BackgroundImage of the Panel to be your background graphic of choice. Next, you will need to embed a 2nd Panel overlaying the Panel with the BackgroundImage. This Panel should be at position 1,1 (inside the first Panel) and have a width of Panel1.Width - 2 and a height of Panel2.Height - 2.
That's all you really have to do to create the dashed-line BorderStyle effect for WinForms.