CheckBox1.Caption := '';
  StaticText.AutoSize := False;

  with Shape1 do
  begin
    Shape := stRectangle;
    Pen.Mode := pmMask;
    Pen.Style := psDot;
  end;

procedure TForm1.FormCreate(Sender: TObject);
begin
  Shape1.Visible := (ActiveControl = CheckBox1);
  {Если не хочется подгонять ручками}
  with StaticText1 do
    Shape1.SetBounds(Left-1, Top-1, Width+2, Height+2);
end;

procedure TForm1.CheckBox1Enter(Sender: TObject);
begin
  Shape1.Show;
end;

procedure TForm1.CheckBox1Exit(Sender: TObject);
begin
  Shape1.Hide;
end;

procedure TForm1.StaticText1Click(Sender: TObject);
begin
  ActiveControl := CheckBox1;
  CheckBox1.Checked := not CheckBox1.Checked;
end;

procedure TMyCheckBox.CreateParams(var Params: TCreateParams);
begin
  inherited;
  Params.Style := Params.Style or BS_MULTILINE;
end;