CRgn is an MFC class wrapper for the HRGN handle as used by the API. You have to declare a CRgn object, then attach it to the HRGN handle:

Code:
HRGN m_hUpdateRgn;
CRgn MyRgn;

GetUpdateRgn(m_hUpdateRgn,0);
MyRgn.FromHandle(m_hUpdateRgn);
CPaintDC dc(m_hWnd);
dc.FrameRgn(MyRgn,NULL,4,4);