+2  A: 

In Delphi you will need to override CreateParams procedure of the form you want to make borderless and add CS_DROPSHADOW ($00020000) style to the defaults.

procedure TForm1.CreateParams(var Params: TCreateParams);
begin
  inherited;

  Params.WindowClass.Style := Params.WindowClass.Style or CS_DROPSHADOW;
end;
Alex T.