var
  td: TTaskDialog;
  tb: TTaskDialogBaseButtonItem;
begin
  td := TTaskDialog.Create(nil);
  try
    td.Caption := 'Warning';
    td.Text := 'Continue or Close?';
    td.MainIcon := tdiWarning;
    td.CommonButtons := [];

    tb := td.Buttons.Add;
    tb.Caption := 'Continue';
    tb.ModalResult := 100;

    tb := td.Buttons.Add;
    tb.Caption := 'Close';
    tb.ModalResult := 101;

    td.Execute;

    if td.ModalResult = 100 then
      ShowMessage('Continue')
    else if td.ModalResult = 101 then
      ShowMessage('Close');

  finally
    td.Free;
  end;
end;

注意：This will only work on Windows Vista or later.