You can use our Open Source SynTaskDialog unit.
Windows provides a generic task dialog available since Vista/Seven. But there is none available with previous versions of Windows, i.e. Windows XP or 2K.
This unit (licensed under a MPL/GPL/LGPL tri-license) will use the new TaskDialog API under Vista/Seven, and emulate it with pure Delphi code and standard themed VCL components under XP or 2K. It supports Delphi 6 up to XE4, and is Win32/Win64 Unicode ready.
Here is the result under a Windows Seven 64 bit computer:
And here is the same dialog created from our emulated pure Delphi code:
Since this screenshot was made on a Win 7 machine, the styling is native for that OS. When the emulated version of the dialog runs on XP it displays in a style native to that OS.
You have your "Do not ask for this setting next time" checkbox... and potentially much more!