According to UML context diagram context diagram doesn't exists.
So my question is which one of UML diagrams is good to show something like this and how to paint this?
I've just found the following definition: http://en.wikipedia.org/wiki/System_context_diagram That's probably what you need. :)
A context diagram defines a boundary between the system, or part of a system, and its environment, showing the entities that interact with it.
There is no single diagram in UML that would map to this definition, but I have some good news - there are several diagrams (out of total of 14) that can show the frontier between the system and its surrounding world from different perspectives. This is much more flexible than only a context diagram.
First of all, I would mention a special UML element - a boundary. It can be used in any diagram type to show some kind of delimitation. You might want to optionally use it to visually delimit between the system and its environment, especially in situations when this is not explicit.
The following diagrams can show the boundary between the system and its environment:
UML is flexible, there are probably further options, but I think this is enough to get the idea.