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Question
I'd like to trap the ALT Key state in a visual component to display the status. So any pressing of the key in any other component should be visible in this component.

You could install a window hook procedure and execute your code each time the ALT key was pressed. Below is a simple example:

    { ... }
    type
      TTestEdit = class(TEdit)
      protected
        procedure CreateWnd; override;
        procedure DestroyWnd; override;
      end;

    { ... }

    var
      Hook: HHook;

    function GetMsgHook(nCode: Integer; wParam: longint;
      lParam: longint): longint; stdcall;
    begin
      if wParam = VK_MENU then
        ShowMessage('alt');
      Result := CallNextHookEx(Hook, nCode, wParam, lParam);
    end;

    procedure TTestEdit.CreateWnd;
    begin
      inherited CreateWnd;
      if (Hook = 0) and not (csDesigning in ComponentState) then
        Hook := SetWindowsHookEx(
          WH_KEYBOARD, GetMsgHook, Hinstance,
          GetWindowThreadProcessId(Handle, nil)
        );
    end;

    procedure TTestEdit.DestroyWnd;
    begin
      if Hook <> 0 then
      begin
        UnhookWindowsHookEx(Hook);
        Hook := 0;
      end;
      inherited DestroyWnd;
    end;

    initialization
      Hook := 0;