There are a couple of things you can do.
In the OnPaint cycle where the image I assume is being updated, you can draw the box then on top of that.
I don't know how you are drawing the image; I assume you are using the OnPaint event, but the image should be cached away somewhere in a ImageList, Timage or A Tbitmap.
The other way is to Create a TGraphicControl which can be semitransparent and be on top. The Paint cycle for that control will allow you to draw the box and also it will receive you mouse input so you can do things like move the box around etc.
Come back if that is interesting to you.