[marcoszorrilla]

Aquí tienes un ejemplo:

procedure TForm1.FormCreate(Sender: TObject); 
var 
  f: HRGN; 
begin 
  Form1.Borderstyle := bsNone; 
  f := CreateRoundRectRgn( 
          0,            // x-coordinate of the region's upper-left corner 
          0,            // y-coordinate of the region's upper-left corner 
          clientwidth,  // x-coordinate of the region's lower-right corner 
          clientheight, // y-coordinate of the region's lower-right corner 
          40,           // height of ellipse for rounded corners 
          40);          // width of ellipse for rounded corners 
  SetWindowRgn(Handle,f,True); 
end

Un Saludo.