You need to check that on OnKeyDown or OnKeyUp, for example if you need to check if CTRL + A has pressed you can use:

[pascal]procedure TForm1.FormKeyDown(Sender: TObject; var Key: Word;
Shift: TShiftState);
begin
if (ssCtrl in Shift ) and (Key = 65) then
ShowMessage('CTRL + A has pressed');
end;[/pascal]