Think of them as mini-webpages. You can use Photoshop or Paint Shop Pro to design graphics for them and then lay out the graphics in an HTML table, for example. You can then insert text boxes, drop downs, etc in the HTML code.
It is possible to do some sort of dropdowns in Flash, but usually they're not too useable. (monster.com's flash dropdown in its skyscrapers, for example). You can't just make a dropdown inside of a JPEG or GIF. You'd have to use HTML to display the various form elements. After all, what you're asking for (form elements) are HTML elements, not graphic elements.