Delphi is a nice language, but if you need to ask how to start making an rpg in it specifically the only reasonable answer is to forget about it all.
The question itself indicates that you're not ready for a project of such scope using whatever environment you choose to implement it (an environment btw that should be irrelevant at this stage in your application development cycle).
First start with basic requirements gathering.
Next flesh out those requirements into a detailed requirements document.
Based on that write the basic and detailed storylines.
On that basis you can start creating technical requirements for your game engine, graphical subsystem, AI, 3D/2D artwork, user interface, etc. etc. etc.
Only after that can you start writing any code at all, figure 6 months to a year depending on your experience, depth of your process, people involved, etc. etc.
1) do not write an engine. use an existing one
2) dont go straight to the deep end. a good 2d rpg is hard enough
3) dont use delphi, use C++
4) if you must go 3d, learn OpenGL or something like that. Dont even attempt 3d unless you have a very thorough knowlege of c++ first.