procedure TMyFrame.WMKeyUp( var Message : TMessage );
begin
  inherited;
end;

type
  TFrame2 = class(TFrame)
  private
    { Private declarations }
    OldProc : TWndMethod;
    procedure FrameProc( var Msg : TMessage );
  public
    { Public declarations }
    constructor Create( aOwner : TComponent ); override;
  end;

implementation

{$R *.dfm}

constructor TFrame2.Create( aOwner : TComponent );
begin
  inherited Create( aOwner );
  OldProc := WindowProc;
  WindowProc := FrameProc;
end;

procedure TFrame2.FrameProc( var Msg : TMessage );
begin
//  OldProc( Msg );
  if Msg.Msg = WM_KEYUP then
  asm
       Nop
  end;
  OldProc( Msg );
end;

var
  FSaveProc : TWndMethod;

procedure TFrame2.Loaded;
var
  frm : TCustomForm;
begin
  inherited Loaded;
  frm := GetParentForm( Self );
  if Assigned( frm ) then
    with frm do
    begin
      FSaveProc := WindowProc;
      WindowProc := FrameProc;
    end;
end;

procedure TFrame2.FrameProc( var Msg : TMessage );
begin
  FSaveProc( Msg );
  if Msg.Msg = WM_HELP then
//  здесь вызов контекстной справки
end;

type
  TFrame2 = class(TFrame)
  protected
    procedure CNKeyUp( var Msg : TMessage ); message CN_KEYUP;
  end;

implementation

{$R *.DFM}

procedure TFrame2.CNKeyUp( var Msg : TMessage );
begin
  inherited;
  if Msg.wParam = VK_F1 then
  asm
       Nop  // сюда попадаем только, если на фрейме зажата левая кнопка мыши
  end;
end;

  procedure WMHelp( var Msg : TMessage ); message WM_HELP;