To instrument the Threads demo, select Project.Instrument and Run. This will instrument the program and open it in Delphi. You'll have to confirm that you want to reload changed files.
If you have started GpProfile from Delphi IDE through the Tools menu, GpProfile will just switch back to Delphi. If you have started GpProfile without starting Delphi, a fresh Delphi will be started for you.
If you have more than one Delphi installed, you should select the version you want to use with Project.Options before selecting Instrument and Run.
When you are back in Delphi IDE, compile the program (Ctrl+F9) and run it. Don't just press F9 (Run) as Delphi usually just runs the old uninstrumented EXE even if it knows that some files have changed. Go figure.
In the ThrdDemo program click Start Sorting. After the program finished its job, close it by clicking the X button in upper right corner. GpProfile will automatically pop up and open the recorded data.