At design time, set the GroupBox's Text property to an empty string and position a CheckBox so it looks like it is the GroupBox's caption. The result looks pretty good if you place the CheckBox inside the GroupBox and set its Location to 6, 0.

The CheckBox's Click event handler calls the ManageCheckFrame function, which does all of the interesting work.

private void ManageCheckGroupBox(CheckBox chk, GroupBox grp)
{
    // Make sure the CheckBox isn't in the GroupBox.
    // This will only happen the first time.
    if (chk.Parent == grp)
    {
        // Reparent the CheckBox so it's not in the GroupBox.
        grp.Parent.Controls.Add(chk);

        // Adjust the CheckBox's location.
        chk.Location = new Point(
            chk.Left + grp.Left,
            chk.Top + grp.Top);

        // Move the CheckBox to the top of the stacking order.
        chk.BringToFront();
    }

    // Enable or disable the GroupBox.
    grp.Enabled = (chk.Checked);

    // Get the appropriate color for the contained controls.
    Color fore_color;
    if (grp.Enabled)
    {
        fore_color = Color.FromKnownColor(KnownColor.ActiveCaptionText);
    }
    else
    {
        fore_color = Color.FromKnownColor(KnownColor.InactiveCaptionText);
    }

    // Color the controls in the GroupBox.
    foreach (Control ctl in grp.Controls)
    {
        ctl.ForeColor = fore_color;
    }
}

Unfortunately if the CheckBox is inside the GroupBox, then when the CheckBox disables the GroupBox it also disables itself so the user won't be able to re-check the CheckBox. Complicating matters is the fact that the Form Designer tends to drop the CheckBox inside the GroupBox if you place the CheckBox over the GroupBox, so it's hard to arrange them nicely without putting one inside the other.

To handle this problem, the ManageCheckGroupBox function checks whether the CheckBox is inside the GroupBox and, if it is, the function moves it into the GroupBox's parent. It adjusts the CheckBox's location so it doesn't move on the screen and moves it to the front of the stacking order so it doesn't end up behind the GroupBox.

Next the code enables or disables the GroupBox (which enables or disables all of the controls it contains). It then gives the GroupBox's controls the proper color (normally black or gray) to indicate whether they are disabled.