There are many free source Delphi components arround the Internet you can install freely and use in your applications.
In Delphi 2005 custom components are installed in the IDE as packages (BPL files).
Once the component package is created, you need to install it in the IDE for the components to appear on the Tool Palette.
Note 1: this tutorial covers installing a component package in Delphi 2005 / Delphi for Win32 personality.
To begin, start Delphi 2005 ... then point to "Component" - "Install Packages" IDE menu item.