type
  TForm1 = class(TForm)
  private
    procedure CMDialogKey( var msg: TCMDialogKey );
    message CM_DIALOGKEY;
end;

var
  Form1: TForm1;

implementation
{$R *.DFM}

procedure TForm1.CMDialogKey(var msg: TCMDialogKey);
begin
  if msg.Charcode <> VK_TAB then
    inherited;
end;

procedure TForm1.FormKeyDown(Sender: TObject;
var Key: Word; Shift: TShiftState);
begin
  if Key = VK_TAB then
    Form1.Caption := 'Tab Key Down!';
end;