This is usually done by maintaining a collection of objects you want drawn. The mouse click should update this collection and then tell the window (or the affect region) to refresh. This has the enormous advantage of preserving whatever you've drawn if the window is moved off-screen, hidden behind other windows, minimized, etc.
For a rudimentary solution, create a hierarchy of drawable shape types derived from a common abstract Shape class, and use, e.g., a List for the collection. The base Shape class will have an abstract Draw method that the derived classes override.
For a more industrial-strength solution, look around for 2-D scene graphs.