Here is an example of using a loop that checks the time and calls Application.ProcessMessages to allow Windows messages to be processed during the loops execution.

procedure Delay(ms : longint);
var
  TheTime : LongInt;
begin
  TheTime := GetTickCount + ms;
  while GetTickCount < TheTime do
    Application.ProcessMessages;
end;
procedure TForm .Button Click(Sender: TObject);
begin
  ShowMessage('Start Test');
  Delay(2000);
  ShowMessage('End Test');
end;