Hallo, this is how I do rectangular balloons in Paint.NET
 
Here's a sample panel I made for one of my comics:
 

 
I'm going to go over the steps that created those dialogue balloons.
 
After I open the image that's going to end up as a comic panel, I create 2 new layers, the top layer for dialogue, the middle layer for the balloons. The image I opened is the bottom "Background" layer.
 

 
I add the dialogue on the top layer, lowering the Background layer's opacity (so it becomes semi-transparent) if the text is hard to read on top of dark colors in the image. Double-click on the Background layer in the Layer toolbox to see the layer properties, e.g.
 

 
When you're finished adding text you can adjust opacity to full again.
 
Okay, the balloons:  I've set the corner radius for rounded rectangles to 20px as default, you can adjust this size manually as you go, or set it permanently in Settings (the little cogwheel on the top right) or just stick with Paint.NET's default 10px radius. (Sharp corner rectangles are for robot dialogue, if you ask me, not that anyone's asking me. But I have comics with robots in them, so that's how I do it. If you prefer sharp corners, go you.)
 
With the middle layer selected, using the Rounded Rectangle shape, and the right mouse button (whose default color is white), I drew rounded rectangles around the text, just clicking and dragging until it looked right. You can adjust/move the balloon while it's "live" and selected, either by dragging its nubs or by moving your mouse pointer over the balloon until movement arrows appear. (If you stray just beyond the edges of the balloon a rotation arrow may appear, inviting you to turn/angle the balloon, if you don't want to do this then just move your pointer until the rotation arrow goes away.)
 

 
Then I changed the shape to Triangle, and again using the right mouse button (white color) drew a triangle near to the top balloon, and while the triangle is "live" (still selected) I moved my mouse pointer slightly away so rotation arrows appeared, and turned the triangle around so it's pointing to the speaker:
 

 
I moved and lengthened the triangle a little so it joined with the balloon. A really easy way to add tails.
 
And repeat with other balloons that need a pointer, draw a triangle shape with the right-hand button, rotate and move until it's in the right position, joining the balloon.
 

 
...also add any bridges between balloons, that are needed if the same character keeps talking, the example below is just a 20px wide white line, connecting the balloons:
 

 
Once the balloons are finished I use the Outline tool (Effects menu > Object > Outline Object) to put a 1px line around them. Some artists prefer thicker lines, I like to adjust the default 2px to 1px as shown here. Suit yourself!
 

 

 
And that is literally it. Hope it helps!
 
~dpat57 Sept 2022