This example adds two rectangles to myDocument and connects them with a curved connector. Note that when you attach the connector to the rectangles, the size and position of the connector are automatically adjusted; therefore, the position and dimensions you specify when adding the callout are irrelevant (dimensions must be nonzero).
Set myDocument = Worksheets(1)
Set s = myDocument.Shapes
Set firstRect = s.AddShape(msoShapeRectangle, 100, 50, 200, 100)
Set secondRect = s.AddShape(msoShapeRectangle, 300, 300, 200, 100)
Set c = s.AddConnector(msoConnectorCurve, 0, 0, 100, 100)
With c.ConnectorFormat
.BeginConnect ConnectedShape:=firstRect, ConnectionSite:=1
.EndConnect ConnectedShape:=secondRect, ConnectionSite:=1
c.RerouteConnections
End With