As said in the comments, you cannot draw on the screen directly. What you can do is build some "overlay" window (transparent and click-through) and draw on it.

Here is a C# Console app sample that demonstrates that and also uses UI Automation that track opened windows and draw a yellow rectangle around them.

// needs a reference to UIAutomationClient, UIAutomationType and WindowsBase
static class Program
{
    [STAThread]
    static void Main()
    {
        var overlay = new Overlay();

        // track windows open (requires WindowsBase, UIAutomationTypes, UIAutomationClient)
        Automation.AddAutomationEventHandler(WindowPattern.WindowOpenedEvent, AutomationElement.RootElement, TreeScope.Subtree, (s, e) =>
        {
            var element = (AutomationElement)s;
            if (element.Current.ProcessId != Process.GetCurrentProcess().Id)
            {
                Console.WriteLine("Added window '" + element.Current.Name + "'");
                overlay.AddTrackedWindow(element);

                // track window close
                Automation.AddAutomationEventHandler(WindowPattern.WindowClosedEvent, element, TreeScope.Element, (s2, e2) =>
                {
                    overlay.RemoveTrackedWindow(element);
                });
            }
        });

        Application.Run(overlay);
    }
}

// adapted from https://stackoverflow.com/questions/11077236/transparent-window-layer-that-is-click-through-and-always-stays-on-top
public class Overlay : Form // standard Windows Form
{
    private readonly HashSet<AutomationElement> _windows = new HashSet<AutomationElement>();

    public Overlay()
    {
        TopMost = true;
        FormBorderStyle = FormBorderStyle.None;
        WindowState = FormWindowState.Maximized;
        MaximizeBox = false;
        MinimizeBox = false;
        ShowInTaskbar = false;
        BackColor = Color.White;
        TransparencyKey = BackColor;
    }

    protected override CreateParams CreateParams
    {
        get
        {
            var cp = base.CreateParams;
            const int WS_EX_TRANSPARENT = 0x20;
            const int WS_EX_LAYERED = 0x80000;
            const int WS_EX_NOACTIVATE = 0x8000000;
            cp.ExStyle |= WS_EX_LAYERED | WS_EX_TRANSPARENT | WS_EX_NOACTIVATE;
            return cp;
        }
    }

    protected override void OnPaint(PaintEventArgs e)
    {
        base.OnPaint(e);

        foreach (var window in _windows.ToArray())
        {
            Rect rect;
            try
            {
                rect = window.Current.BoundingRectangle;
            }
            catch
            {
                // error, window's gone
                _windows.Remove(window);
                continue;
            }

            // draw a yellow rectangle around window
            using (var pen = new Pen(Color.Yellow, 2))
            {
                e.Graphics.DrawRectangle(pen, (float)rect.X, (float)rect.Y, (float)rect.Width, (float)rect.Height);
            }
        }
    }

    // ensure we call Invalidate on UI thread
    private void InvokeInvalidate() => BeginInvoke((Action)(() => { Invalidate(); }));

    public void RemoveTrackedWindow(AutomationElement element)
    {
        _windows.Remove(element);
        InvokeInvalidate();
    }

    public void AddTrackedWindow(AutomationElement element)
    {
        _windows.Add(element);
        InvokeInvalidate();

        // follow target window position
        Automation.AddAutomationPropertyChangedEventHandler(element, TreeScope.Element, (s, e) =>
        {
            InvokeInvalidate();
        }, AutomationElement.BoundingRectangleProperty);
    }
}

To test it, run it, and open a normal Win32 desktop app like notepad for example (not the new Windows 11 one) or explorer (this one works fine on Windows 11). This is what you should see: