At first I thought It was easy but when I started doing it I don’t know how to continue anymore. My idea was to use panels, then draw thick lines, but then what’s the proper way to draw the walls and make my character not move beyond those walls? I just can’t imagine how I can possibly do that. Here’s a sketch of a maze to illustrate How I will be doing it:

I just started with a Frame and still trying to grasp the idea of doing it.
First, you need a data-structure that represents your maze. Then you can worry about drawing it.
I would suggest a class like this:
Then I would draw this maze with blocks (squares), rather than lines. A dark block for blocked tiles, and a clear one for empty tiles.
To paint, do something like this.