While you can find "@", "€" or "¤" on most keyboards, the "©" does not appear on mine (nor yours, I guess).
The Windows Character Map tool (you have it under Start - Accessories - System Tools), for the selected font, will display all available characters. What's more, for the selected character you will find the "keystroke" and the Unicode value.
The keystroke for © is "0169". To get the copyright symbol in the Code Editor just hold down the ALT key and, on the numeric part of your keyboard, type "0169" - and here it is: ©!
To have it using the more geeky way, you can do:
Caption := 'The copyright symbol ' + #169;
Or, the unicode way:
Caption := 'The copyright symbol ' + #$00a9;
Finally, since Delphi does know unicode, you are best to use the symbol directly:
Caption := 'The copyright symbol ©';
The same goes for the "trade mark" symbol: "™" - using ALT + "0153".