I found this question in the borland mailinglist:
… I get my dialog and all runs well - *except* I’ve lost theming
on this particular dialog. This means the application’s main windows shows
up correctly themed, the progress dialog does not. I’ve already added the
XP manifest to the progress dialog, too, but to no avail so far.
A theme [...]

Today I want to introduce a really useful application from the examples in JEDI Windows Security Code Library. In Windows Vista there is no possible way to run a program elevated from the command line. But today there is a cure. I call it RunEl, which stands for Run Elevated. This simple program uses Delphi, [...]

I found this very old but still good article about how to use the Windows API.
These are the subjects:

Part I: The Primer
Windows API calls are just calls to dynamic link libraries
Loading a dynamic link library
Dynamic loading at runtime
Resource only dynamic link libraries
Stack usage and dynamic link libraries
Callback functions
The Hook functions
Data storage in dynamic link libraries
Instanced [...]