...
TSeverSocket *SeverSocket1 = new TSeverSocket;
ServerSocket1->OnClientWrite = OnWrite;
...
Все это делалось в Console Application с VCL
При компиляции выходит ошибка
E2034 Cannot convert 'void (_fastcall *)(TObject *,TCustomWinSocket *)' to 'void (_fastcall * (_closure )(TObject *,TCustomWinSocket *))(TObject *,TCustomWinSocket *)'