TIPS :: 
By design, a Delphi form's "Caption" property is drawn by Windows, on the Caption Bar of a window next to the system menu.
If you want to add some custom text on the caption bar of a form, without changing the Caption property of the form you need to handle one special Windows message: WM_NCPAINT.
Read the full article to learn How to Draw Custom Text on a Form's Caption Bar
Related : Handling Windows Messages | Customizing the System Menu | How to Hide a Form's Title Bar (Caption)
But this solution works not with Vista/Win7 and enabled Aero.