Although I have no experience with CST...
An ellipse is a foreshortened circle. Calculate a circle, but multiply all values on one axis (either x or y axis) by a scaling factor.
First change the local coordinate system to the plane on which you want to draw. then to Draw ellipse go to Curves =>draw ellipse as per your specification. once you draw curve then again go to curves=> select either cover planer curve or extrude planar curve depending on if you want the ellipse with zero thickness or with finite thickness.
@rizwan183: I guess there is no way to draw ellipse with geometric BLOCKS given in CST..I guess I have to work with the curves profile and ellipse basic equations