Unfortunately this makes the button lose its shaded borders. My book Custom Controls Library shows how to build some shaped buttons that still have beveled borders.

' Make the button arrow-shaped.
Private Sub Form_Load()
Dim pts(1 To 7) As POINTAPI

    pts(1).X = 5
    pts(1).Y = 15
    pts(2).X = 35
    pts(2).Y = 15
    pts(3).X = 35
    pts(3).Y = 5
    pts(4).X = 55
    pts(4).Y = 25
    pts(5).X = 35
    pts(5).Y = 45
    pts(6).X = 35
    pts(6).Y = 35
    pts(7).X = 5
    pts(7).Y = 35
    
    Command1.Width = ScaleX(pts(4).X + 5, vbPixels, vbTwips)
    Command1.Height = ScaleY(pts(5).Y + 5, vbPixels, _
        vbTwips)

    m_ButtonRegion = CreatePolygonRgn(pts(1), UBound(pts), _
        ALTERNATE)
    SetWindowRgn Command1.hWnd, m_ButtonRegion, True
End Sub