You're going to have to change the image of the object being rendered on the screen when the mouse moves over it.
How you do this is dependant on the framework you're using.
If you're using DelphiX, then you will be doing collision detection against the objects and the mouse position.
If it's a Delphi Form, then you have more options.

But basically, you need to know when the mouse has touched an object so you can change the picture.. then once the mouse has left the object, you set the picture back again.

It is impossible to give a clearer answer without knowing what you're using.