[Gydba]

Encontré este texto por inet, en una de esas te aclara algo:

From the readme.txt with Delphi 4

"COM/ActiveX initialization
--------------------------
The placement of COM/ActiveX initialization in Delphi
has changed in this version. Prior versions initialized
COM (through CoInitialize) in the initialization
section of the ComObj unit. COM initialization is now
accomplished during the call to Application.Initialize.
Therefore, COM applications that do not call
Application.Initialize must be changed so that it is
called prior to any calls to COM runtime or interface
methods. Likewise, calls to COM functions or interface
methods in unit initialization sections must be changed
to hook into Application.Initialize. This is only
necessary in .exe projects, not .DLL (library)
projects."

Tendrías que probar algo como:

try 
  CoInitialize(nil) 
  Application.Initialize; 
  ... 
  Application.Run; 
finally 
  CoUnInitialize; 
end;

Nada de esto lo probé porque no tengo delphi donde estoy