To translate the Delphi 3.0 VCL messages, you need additional source files. They are stored at Borland's website from where you can download them by clicking on the link at my "Delphi updates and patches" page.
For example, to translate the button captions displayed by the MessageDlg function:
copy consts.pas
translate the SMsgDlg... strings
put consts.pas in the project search path
recompile the project
See the information on ResourceString in the help for more information.
(From the Borland website)