type
  TForm1 = class(TForm)
  private
  protected
    procedure CreateParams(var Params: TCreateParams); override; // ADD THIS LINE!
    { Private declarations }
  public
    { Public declarations }
  end;

并实现它

procedure TForm1.CreateParams(var Params: TCreateParams);
begin
  inherited;
  Params.Style := Params.Style or WS_THICKFRAME;
end;