unit Unit1;

interface

uses
  Windows, Messages, SysUtils, Classes, Graphics, Controls, Forms, Dialogs,
  StdCtrls;

type

  TURLLabel = class(TLabel)
    procedure WndProc(var Message : TMessage); override;
  end;

type
  TForm1 = class(TForm)
    procedure FormCreate(Sender: TObject);
  private
    { Private declarations }
  public
    { Public declarations }
  end;

var
  Form1: TForm1;

implementation

{$R *.DFM}

{ TURLLabel }

procedure TURLLabel.WndProc(var Message: TMessage);
begin
  if (Message.Msg = CM_MOUSELEAVE) then
  begin
    Font.Color := clWindowText;
    Font.Style := Font.Style - [fsUnderline];
  end;
  if (Message.Msg = CM_MOUSEENTER) then
  begin
    Font.Color := clBlue;
    Font.Style := Font.Style + [fsUnderline];
  end;
  inherited WndProc(Message);
end;

procedure TForm1.FormCreate(Sender: TObject);
begin
  with TURLLabel.Create(Self) do
  begin
    Parent := Self;
    Left := 10;
    Top := 10;
    caption := 'www.delphi3000.com';
    Cursor := crHandPoint;
  end;
end;

end.