This example shows a creation of Message Dialog relative to center of Form1.

procedure TForm1.Button1Click(Sender: TObject);
var
  MyForm: TForm;
begin
  MyForm:=CreateMessageDialog('This is example', mtInformation, [mbOk]);
  with MyForm do
  begin
    Height:=130;
    Width:=150;
    Left:=Trunc((Form1.Width-Width)/2)+Form1.Left;
    Top:=Trunc((Form1.Height-Height)/2)+Form1.Top;;
    ShowModal;
  end;
end;

You can use onMouseMove event for your form. This event has coordinates of mouse position.

procedure TForm1.FormMouseMove(Sender: TObject; Shift: TShiftState; X,
  Y: Integer);
begin
  Label1.Caption:=IntToStr(X);
  Label2.Caption:=IntToStr(Y);
end;

You must intercept WM_MOVE message. Implementation of this idea is so:

type
  TForm1 = class(TForm)
    Label1: TLabel;
    Label2: TLabel;
  private
    procedure MyMessage(var Msg: TWMMove); message WM_MOVE;
    { Private declarations }
  public
    { Public declarations }
  end;
...
procedure TForm1.MyMessage(var Msg: TWMMove);
begin
  if Msg.Result=0 then
  begin
    Label1.Caption:='x - '+IntToStr(Msg.XPos);
    Label2.Caption:='y - '+IntToStr(Msg.YPos);
  end;
end;

Try to use SetWindowPos WinAPI function to make a Delphi-form to stay on top: And for lose stay on top, you should change HWND_BOTTOM to HWND_TOPMOST in this function.

SetWindowPos(
  Handle,
  HWND_TOPMOST,
  0, 
  0, 
  0, 
  0, 
  SWP_NOACTIVATE or SWP_NOMOVE or SWP_NOSIZE);