Coating a Perforated Hard board for use as Pegboard above a desk?
Pretty much any paint that's suitable for wood will work fine, though it will absorb a bit more readily. You'll get some raised grain with the first coat, so plan on hitting it with a sanding sponge or similar after, then let it dry well before you recoat to prevent excessive swelling. A sanding sealer might be a good idea to start if you don't mind buying multiple products. 

Overlaying adhesive sheet isn't a great idea. It won't bond well and you'd have to punch out all the holes. They do make a white melamine-coated pegboard, though it sounds like it might not be available to you.