Although Delphi comes with a help file documenting many Windows API functions and types, it is incomplete and, in some cases, incorrect. Each new version of Windows has introduced new API functions. The help file that comes with Delphi has not, to my knowledge, been updated since its initial version, so it is missing topics on the new functions.
I recommend getting API documentation straight from the horse’s mouth. Microsoft publishes full documentation of the Platform SDK free online through MSDN. Add that site to your bookmark list right now. It is updated quarterly to include new API functions and COM interfaces. Updates include not only additions, but also expanded information on older topics. There is at least one page dedicated to each function, and it usually indicates which Windows versions support the function.
Users of Mozilla-based Web browsers such as Firefox or Netscape should consider getting the MSDN search plug-in from Mycroft so they can quickly initiate searches on MSDN.
In addition to the online reference, the MSDN Library is also available on DVD. It is included with most Visual Studio products, or you can order it separately from Microsoft through the MSDN Subscription program (USD$200 as of November 2004). You can download a large portion of it free with the Platform SDK.