For this example, you will need 2x TButton, 1x TMemo and 1x TTimer. 
Alternatively, take the code from Button2.Click and include  StdCtrls, ExtCtrls;

unit Unit1;

interface

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

type
  TForm1 = class(TForm)
    Button1: TButton;
    Memo1: TMemo;
    Button2: TButton;
    Timer1: TTimer;
    procedure Button1Click(Sender: TObject);
    procedure Button2Click(Sender: TObject);
    procedure Timer1Timer(Sender: TObject);
    procedure Memo1Enter(Sender: TObject);
  private
    { Private declarations }
  public
    { Public declarations }
  end;

var
  Form1: TForm1;

implementation

{$R *.DFM}

procedure TForm1.Button1Click(Sender: TObject);
begin
Close();
end;

procedure TForm1.Button2Click(Sender: TObject);
var
   Region: HRgn;
   Points: array [0..11] of TPoint;
begin
Timer1.Enabled := True;
(* Define the points of an arrow shape *)
   Points[0] := Point(0  , 0   );
   Points[1] := Point(320 , 120);
   Points[2] := Point(0, 240 );
   Points[3] := Point(160, 120 );
(* Define the region *)
   Region := CreatePolygonRgn(Points, 4, ALTERNATE);
(* Set the window to have the above defined region *)
   SetWindowRgn(Handle,              // The handle of your form
                             Region ,             // The handle of your defined region
                             True);                 // Indicates the window is to be redrawn now

end;


procedure TForm1.Timer1Timer(Sender: TObject);
begin
Close();
end;

procedure TForm1.Memo1Enter(Sender: TObject);
begin
Button2.SetFocus();
end;

end.