You're gonna have to manage it all by yourself, but it's not that hard.

1) first detect if the mouse cursor is over the sprite
2) draw the hint box frame
3) draw the corresponding text for the sprite that has been detected

done!

Basically it's all in knowing where your mouse is. And to do that use TForm.OnMouseMove(); if your game is in a windows 'form'. There may be another one for the TDXDraw object, but I don't have Delphi on this system so I cannot check right now.

The event call will look like this:
[pascal]procedure TMain.MapScreenMouseMove(Sender: TObject; Shift: TShiftState; X, Y: Integer);[/pascal]

You're interested in X and Y. Thats your mouse cursor's location within the screen.

Now create 2 Integers CursorX and CursorY [size=9px](or use a TPoint, but if you don't have to add a whole new unit to your uses clause why bother.)[/size] and assign the mouse cursor values to those in the OnMouseMove procedure. Then when you draw all your sprites and other UI stuff, draw your hint boxes there based off of your CursorX, CursorY values.