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).
If you need to install a third-party (or your own) Delphi component, and you only have the .PAS source file(s), follow this step-by-step tutorial and learn how to create a package to host your components.
Note 1: this tutorial covers installing components in Delphi 2005 / Delphi for Win32 personality.
To begin, start Delphi 2005 ...
From the main IDE menu, select "File" - "New" - "Package - Delphi for Win32"


