Create a message handler for the WM_MENUCHAR character message. Example:

unit Unit ;
interface
uses
  Windows, Messages, SysUtils, Classes, Graphics, Controls, Forms,
    Dialogs, Menus;
type
  TForm  = class(TForm)
    MainMenu : TMainMenu;
    One : TMenuItem;
    Two : TMenuItem;
    THree : TMenuItem;
  private
    { Private declarations }
    procedure WmMenuChar(var m : TMessage); message WM_MENUCHAR;
  public
    { Public declarations }
  end;
var
  Form : TForm ;
implementation
{$R *.DFM}
procedure TForm .WmMenuChar(var m : TMessage);
begin
  Form .Caption := 'Non standard menu key pressed';
  m.Result :=  ;
end;
end.