The integrated debugger has detected that Windows is in a modal state and will not allow the debugger to stop your application. Windows enters "hard mode" whenever processing an inter-task SendMessage, when there is no task queue, or when the menu system is active. You will not generally encounter hard mode unless you are debugging DDE or OLE processes within Delphi. 

A standalone debugger such as the Turbo Debugger for Windows can be used to debug applications even when Windows is in hard mode.