procedure TForm1.FormCreate(Sender: TObject);
 begin
  MediaPlayer1.Notify := True;
  MediaPlayer1.OnNotify := NotifyProc;
 end;
 procedure TForm1.NotifyProc(Sender: TObject);
 begin
  with Sender as TMediaPlayer do
  begin
  case Mode of
  mpStopped: {do something here};
  end;
  //must set to true to enable next-time notification
  Notify := True;
  end;
 end;

 {
 NOTE that the Notify property resets back to False when a
 notify event is triggered, so inorder for you to recieve
 further notify events, you have to set it back to True as in the code.
 for the MODES available, see the helpfile for MediaPlayer.Mode;
}