The simplest and quickest way would be to use the JCL exception and debugging support. After installing the JCL, make sure to insert the debug symbols into the binary (Projects -> JCL debug expert -> Insert JDBG data for this binary -> Enabled) and add a JCL exception dialog to the project (File -> New... -> Dialogs -> Exception dialog).
If the JCL installer fails to add that dialog to the object repository and it doesn't appear (happened to me a few times), either add it manually by copying the .pas and .dpr file from jcl-install-dir\experts\debug\dialog
into your project and adding them manually, or close Delphi, edit %DELHPIDIR%\bin\delphi32.dro
in a text editor and add something like this to it (adjusting the paths of course:)
[P:\DELPHI11\EXTERNALLIB\JCL\EXPERTS\DEBUG\DIALOG\EXCEPTDLG]
Type=FormTemplate
Name=Exception Dialog
Page=Dialogs
Icon=P:\DELPHI11\EXTERNALLIB\JCL\EXPERTS\DEBUG\DIALOG\EXCEPTDLG.ICO
Description=JCL Application exception dialog
Author=Project JEDI
DefaultMainForm=0
DefaultNewForm=0
Ancestor=
[P:\DELPHI11\EXTERNALLIB\JCL\EXPERTS\DEBUG\DIALOG\EXCEPTDLGMAIL]
Type=FormTemplate
Name=Exception Dialog with Send
Page=Dialogs
Icon=P:\DELPHI11\EXTERNALLIB\JCL\EXPERTS\DEBUG\DIALOG\EXCEPTDLGMAIL.ICO
Description=JCL Application exception dialog
Author=Project JEDI
DefaultMainForm=0
DefaultNewForm=0
Ancestor=