Override the WinProc procedure for the form. The following example overrides the window procedure for the form, and responds to the WM_CANCELMODE message, indicating that a messagebox or other dialog box has been executed. Example:

type
  TForm  = class(TForm)
    Button : TButton;
    procedure WndProc (var Message: TMessage); override;
    procedure Button Click(Sender: TObject);
  private
    { Private declarations }
  public
    { Public declarations }
  end;
var
  Form : TForm ;
implementation
{$R *.DFM}
procedure TForm .WndProc (var Message: TMessage);
begin
  if Message.Msg = WM_CANCELMODE then begin
    Form .Caption := 'A dialog or message box has popped up';
  end else
  inherited
end;
procedure TForm .Button Click(Sender: TObject);
begin
  ShowMessage('Test Message');
end;