With my installation (think I used the MSI) there is a Tutorial folder directly under the main IronPython one.
Inside the folder there is a Tutorial.htm file that has an example of just what you want, in the Tutorial 2 -> Exercise 2 : Windows Forms section.
Essentially you have to make sure the IronPython knows about the winforms.py file provided in the Tutorial folder, by either having it on the path or launching IronPython from a folder containing a copy of the file.
Then you can do
import winforms
from System.Windows.Forms import *
from System.Drawing import *
f = Form()
f.Show()
Which will bring up a form for you, but leave the console interactive so you can change the form as you want to while it is running.