...
private
  procedure WMHotKey(var Msg: TWMHotKey); message WM_HOTKEY;
...
const
  MyHotKey = ord('1');

procedure TForm1.WMHotKey(var Msg: TWMHotKey);
begin
  MessageBeep(0);
end;

procedure TForm1.FormCreate(Sender: TObject);
begin
  RegisterHotKey(Form1.Handle, MyHotKey, 0, MyHotKey);
end;

procedure TForm1.FormDestroy(Sender: TObject);
begin
  UnRegisterHotKey(Form1.Handle, MyHotKey);
end;