You can use the GetCapture() windows API function to capture the mouse. See the Windows documentation for additional information and limitations on mouse capturing. Example:

procedure TForm .FormDeactivate(Sender: TObject);
begin
  ReleaseCapture;
end;
procedure TForm .FormMouseMove(Sender: TObject; Shift: TShiftState; X,
  Y: Integer);
begin
  If GetCapture = 0 then
    SetCapture(Form .Handle);
  if PtInRect(Rect(Form .Left,
                   Form .Top,
                   Form .Left + Form .Width,
                   Form .Top + Form .Height),
                   ClientToScreen(Point(x, y))) then
  Form .Caption := 'Mouse is over form' else
  Form .Caption := 'Mouse is outside of form';
end;