I don't think you can trigger an event from mouseover using a shape on a sheet. I think you can only assign an event to the Click for a shape.
However, you can use the mouseover event for an object you have placed onto a sheet. For what you want to do, I would suggest inserting an image onto your spreadsheet.
First, make sure the Visual Basic toolbar is visible (use View .. Toolbars if not)
Next, turn on Design Mode and the Control Toolbox using the buttons on the VB toolbar.
Now, insert an image object from the Control Toolbox.
If you view the properties of this new image (right click it) you can select border and background images for it. If you wanted a circle, you could set the bitmap to be the image of a circle created in any simple art package.
To assign a macro to it, either right click and show code, or double click it. The default is the Click event, but you will be able to select others from the drop down box in the top right of the code window. There is no mouseover event, but mousemove does something very similar.
If you want any more help with this, let me know