There are many free source Delphi components arround the Internet you can install freely and use in your applications.
If you need to install a third-party Delphi component, and you only have the .PAS source file(s), follow this step-by-step tutorial and learn how to add the component into an existing package.
Note 1: this tutorial covers installing components in Delphi for Win32 (Delphi 7).
You'll learn how to install the TColorButton component.
First, start Delphi. A new project is created by default ... close it by pointing to File - Close All.