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//steht im Konstruktor
self.OnClick := self.ChangePicture(Form1);


procedure TMyImage.ChangePicture(Sender: TObject);
begin
  //anderes Bild laden, usw.
end;                    

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//steht im Konstruktor
self.OnClick := self.ChangePicture;                    

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  TMyImage = class(TImage)
  private
    FPicture: TPicture;
    FClickPicture: TPicture;
    FOnClick: TNotifyEvent;
    FClicked: Boolean;
  protected
    procedure SetPicture(Value: TPicture);
    procedure SetClickPicture(Value: TPicture);
    procedure HandleClick(Sender: TObject);
  public
    constructor Create(AOwner: TComponent); override;
    destructor Destroy; override;
  published
    property Picture: TPicture read FPicture write SetPicture;
    property ClickPicture: TPicture read FClickPicture write SetClickPicture; 
    property OnClick: TNotifyEvent read FOnClick write FOnClick;
  end;

constructor TMyImage.Create(AOwner: TComponent); 
begin
  inherited Create(AOwner);

  FPicture := TPicture.Create;
  FClickPicture := TPicture.Create;

  inherited OnClick := HandleClick;
end;

procedure TMyImage.HandleClick(Sender: TObject);
begin
  FClicked := not FClicked;

  if FClicked then
    inherited Picture := FClickPicture
  else
    inherited Picture := FPicture;

  if Assigned(FOnClick)
    OnClick(Sender);
end;                    

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self.OnClick := @ChangePicture;