Simple example of how this could be done:

1. int startX, startY;
   
   void setup() {
     size(500, 500);
   }
   
   void draw() {}
   
   void mousePressed() {
     startX = mouseX;
     startY= mouseY;
   }
   
   void mouseReleased() {
     rect(startX, startY, mouseX-startX, mouseY-startY);
   }

For a drawing program, i would work with different layers, one for the actual drawing and another one for a preview of the rectangle. Hope it helps.

You can try mouseDragged() instead of mouseReleased() in the above code to see the shape as you drag the mouse. Of course you will draw a lot of shapes one over another. As benja said for the real thing you will need a layer for the preview. Or maybe some objects stored n an ArrayList...? 

Simple example, kind of like KidPix if you know what that is:

I made one also :)