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type
  TForm1 = class(TForm)
    MyButton1: TButton;
    procedure FormCreate(Sender: TObject);
  private
    { Private-Deklarationen }
    procedure MyBtnClick(Sender: TObject);
  public
    { Public-Deklarationen }
  end;

var
  Form1: TForm1;

implementation

{$R *.dfm}

procedure TForm1.MyButtonClick(Sender: TObject);
begin
  ShowMessage('Button is clicked!');
end;

procedure TForm1.FormCreate(Sender: TObject);
begin
  MyButton1 := TButton.Create(Form1);
  MyButton1.Parent := Form1;
  MyButton1.OnClick := MyButtonClick;
end;

In this simple case MyButtonClick is a class method. The way it’s used in the example above is quite usual. But what to do if you need to use some method to handle OnClick event, which is defined outside the class(external function)? In this situation you have to wrap up your method by a record:

type
  TMethodPointer = packed record
    pMethod: Pointer;
    pObject: TObject;
end;

After this you can add your event handler, using casting to TNotifyEvent like this:

methodPointer.pMethod := @MyOnClickMethod;
methodPointer.pObject := nil;
MyButton1.OnClick :=  TNotifyEvent(methodPointer);

type
  TDataLoaderThread = class(TThread)
    myDBConnection: TADOConnection;
    query1: TADOQuery;
    query2: TADOQuery;
  private
  protected
    procedure InitData;
    procedure Execute; override; 

implementation

procedure TDataLoaderThread.Execute;
begin
  inherited;
  FreeOnTerminate:=True;
  Priority := tpLower;
  Synchronize(InitData);
end;

procedure TDataLoaderThread.InitData();
begin
   // code for retrieving data from the DB
   // and filling the ComboBox of the Form object
end;