var
  Msg: TMsg;

function HandlerRoutine( dwCtrlType :Longint ) :Bool; stdcall;
begin
  result := false;
  case dwCtrlType of
    CTRL_C_EVENT :              обработка 
    CTRL_BREAK_EVENT :       Ваших событий
    CTRL_CLOSE_EVENT:         тут
    CTRL_LOGOFF_EVENT: 
    CTRL_SHUTDOWN_EVENT : begin result:=true;Halt( 0 );end;
  end;
end;

begin

//Ваша программа

  SetConsoleCtrlHandler(@HandlerRoutine,true);
// Цикл бесконечный
  while GetMessage (Msg,  0 ,  0 ,  0 ) do
    begin
    TranslateMessage (Msg);
    DispatchMessage (Msg);
   end;
  SetConsoleCtrlHandler(@HandlerRoutine,false);
end;