unit Unit1;

interface

uses
  Windows, Messages, SysUtils, Classes, Graphics, Controls, Forms, Dialogs,
  StdCtrls;

type
  TForm1 = class(TForm)
    Label1: TLabel;
    Button1: TButton;
    Edit1: TEdit;
  private
    { Private declarations }
    procedure CMMouseEnter(var Msg: TMessage); message CM_MOUSEENTER;
    procedure CMMouseLeave(var Msg: TMessage); message CM_MOUSELEAVE;

public
    { Public declarations }
  end;

var
  Form1: TForm1;

implementation

{$R *.DFM}

procedure TForm1.CMMouseEnter(var Msg: TMessage);
var
  anObject :        TObject;
begin
  anObject := TObject(Msg.lParam);
  //进入控件
  if anObject <> nil then
  begin
    Label1.Caption := 'Mouse Enter...'; //显示信息
  end;
end;
procedure TForm1.CMMouseLeave(var Msg: TMessage);
//退出控件
var
  anObject :        TObject;
begin
  anObject := TObject(Msg.lParam);
  if anObject <> nil then
  begin
       Label1.Caption := 'Mouse Leave...'; //显示信息
  end;
end;

end.

http://blog.csdn.net/diligentcatrich/article/details/7010488