You might want to use a flag and a GameLoop.
When the user clicks the mouse on a spot, set the flag to true and have a TPoint variable for the startpoint. Draw the line in your gameloop on the screen from the startpoint to the current mouse position and when the mouse is clicked again then save the endposition somewhere and then you have a continious line.

Or do you want to draw the line to another point everytime you move your mouse, then it's going to be difficult to get a contious line, since you'll have to have some sort of starting and ending point to draw the line and when you just move the mouse than there is no endpoint and no startpoint, just new lines everytime