[NumLock]

для абсолютно динамической формы (не из dfm):

Код:

type
  TMyForm = class(TForm)
  private
    FLabel: TLabel;
    procedure LabelClick(Sender: TObject);
  public
    constructor CreateNew(AOwner: TComponent; Dummy: Integer  = 0); override;
  end;

{ TMyForm }

constructor TMyForm.CreateNew(AOwner: TComponent; Dummy: Integer);
begin
  inherited CreateNew(AOwner, Dummy);

  Position:=poScreenCenter;
  Caption:='MyForm';
  Width:=400;
  Height:=200;

  FLabel:=TLabel.Create(Self);
  FLabel.Parent:=Self;
  FLabel.Caption:='Label';
  FLabel.Left:=10;
  FLabel.Top:=10;
  FLabel.OnClick:=LabelClick;
  FLabel.Visible:=True;
end;

procedure TMyForm.LabelClick(Sender: TObject);
begin
  ShowMessage('Ok');
end;

use:

Код:

with TMyForm.CreateNew(Application) do Show;