How can I detect a held down mouse button over a PictureBox?

Set up a MouseMove event within the PictureBox control:

this.myPictureBox.MouseMove += new System.Windows.Forms.MouseEventHandler(this.myPictureBox_MouseMove);

Then, within your MouseMove event handler, check to see if the left mouse button (or whatever) is pressed:

private void myPictureBox_MouseMove(object sender, MouseEventArgs e)
{  
     if (e.Button == MouseButtons.Left)
         // Do what you want to do
}

Mouse events

Use the MouseDown event to just detect a down press of a mouse button and set this.Capture to true so that you then get other mouse events, even when the mouse leaves the control (i.e. you won't get a MouseLeave event because you captured the mouse). Release capture by setting this.Capture to false when MouseUp occurs.

Just checking the state of the mouse

This may not be relevant, but you can check System.Windows.Control.MousePosition and see if it is in the PictureBox.ClientRectangle, then check the Control.MouseButtons static property for which buttons might be down at any time.

As in:

if  (pictureBox.ClientRectangle.Contains(pictureBox.PointToClient(Control.MousePosition)))
{
   if ((Control.MouseButtons & MouseButtons.Left) != 0)
   {
     // Left button is down.
   }
}

When the mouse is pressed down most controls will then Control.Capture the mouse input. This means that all MouseMove events are sent to the original control that captured rather than the control the mouse happens to be over. This continues until the mouse loses capture which typically happens on the mouse up.

If you really need to know when the mouse is over your control even when another control has captured mouse input then you only really have one way. You need to snoop the windows messages destined for other controls inside your application. To do that you need add a message filter ...

Application.AddMessageFilter(myFilterClassInstance);

Then you need to implement the IMessageFilter on a suitable class...

public class MyFilterClass : IMessageFilter
{
    public bool PreFilterMessage(ref Message m)
    {
        if (m.Msg == WM_MOUSEMOVE)
            // Check if mouse is over my picture box!

        return false;
    }
}

Then you watch for mouse move events and check if they are over your picture box and do whatever it is you want to do.