A. You create a dynamic method that is indexed to the message constant
   that you want to override.  If you want to override the CM_DIALOGKEY
   message you would declare the following procedure in the public
   section of you class declaration:

   Procedure CMDialogKey(var Message: TCMDialogKey);message CM_DIALOGKEY;

   It is common practice to declare the procedure name the same as the
   message name minus the underscore.  Your message handler would look
   something like this:

   Procedure TForm1.CMDialogKey(var Message: TCMDialogKey);
   begin
     if CharCode = VK_TAB then begin
       {Process the Alt+Tab key here}
       result := 1;
       exit;
     end;
     inherited;
   end;

   Setting result to 1 stops further processing. The inherited
   statement passes control to the parent handler. Be sure to
   execute inherited for all the cases you don't want to handle.
   Do not execute it for the ones you do handle.