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Use the KeyDown or KeyUp events, and test VK_LEFT, VK_RIGHT keys and etc.

procedure TForm1.FormKeyDown(Sender: TObject; var Key: Word;
  Shift: TShiftState);
begin
  case key of
    VK_LEFT: Label2.Caption:='This is a LEFT';
    VK_RIGHT: Label2.Caption:='This is a RIGHT';
    VK_UP: Label2.Caption:='This is a UP';
    VK_DOWN: Label2.Caption:='This is a DOWN';
  end;
end;

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