const
  CM_CHANGECOLOR = WM_APP + 400;
type
  TMyComponent = class(TControl)
  .
  .
  .
protected
  procedure CMChangeColor(var Message: TMessage); message CM_CHANGECOLOR;
end;
procedure TMyComponent.CMChangeColor(var Message: TMessage);
begin
  Color := Message.lParam;
  inherited;
end;

#define CM_CHANGECOLOR (WM_APP + 400)
class TMyControl : public TControl
{
protected:
    void __fastcall CMChangeColor(TMessage &Message);
BEGIN_MESSAGE_MAP
  MESSAGE_HANDLER(CM_CHANGECOLOR, TMessage, CMChangeColor)
END_MESSAGE_MAP(TControl)
};
void __fastcall TMyControl::CMChangeColor(TMessage &Message)
{
  Color = Message.LParam;                   // set color from long parameter
  TControl::CMChangeColor(Message);         // call the inherited message handler
}