Strangely enough, I couldn't find an answer on StackOverflow, and there is not much on the Net, especially for Delphi. I found the solution from examples posted here.
Here's what I got at the end:
function ClrCreateManagedInstance(pTypeName: PWideChar; const riid: TIID;
out ppObject): HRESULT; stdcall; external 'mscoree.dll';
procedure TMyDotNetInterop.InitDotNetAssemblyLibrary;
var
MyIntf: IMyIntf;
hr: HRESULT;
NetClassName: WideString;
begin
//Partial assembly name works but full assembly name is preffered.
NetClassName := 'MyCompany.MyDLLName.MyClassThatImplementsIMyIntf,
MyCompany.MyDLLName';
hr := ClrCreateManagedInstance(PWideChar(NetClassName), IMyIntf, MyIntf);
//Check for error. Possible exception is EOleException with ErrorCode
//FUSION_E_INVALID_NAME = $80131047 2148732999 : The given assembly name
//or codebase was invalid.
//COR_E_TYPELOAD = $80131522 - "Could not find or load a specific type
//(class, enum, etc)"
//E_NOINTERFACE = $80004002 - "Interface not supported".
OleCheck(hr);
end;
BTW, depending on the situation, you might want to load mscoree.dll dynamically, because it might be not present on the system (XP with no .Net Framework)