To find out in which unit a routine is declared, put the cursor on that identifier and press function key F1.
But why would you want to know that? Because if the declaring unit isn't known to Delphi's compiler, it stops with an "Undeclared identifier" error. In that case, simply add the declaring unit to the uses clause near the top of your unit.
Alas, in some cases Delphi's Help files don't show you where a certain routine is declared. This depends on: your version/edition of Delphi and whether an identifier is considered to be "built-in". Notably, the default Help tells you little or nothing about Win32 API functions. For example, where is the very popular ShellExecute declared?...
Here's a partial list of available Win32 API (Application Program Interface) routines and the units where they are declared:
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