add a tshape on your form set its shape property to stCircle the open the brush property and change the color to suit your needs some sort of gray I guess, open the pen property and set its style to psClear to instruct the control not to paint the outline of the circle or more accurately paint it transparent.
That takes care of the circle now to the text drop a label on top of the shape you have just created, the order of creation is important here, set its autosize property to false, make sure it has the same left, top, width and height values as the shape you created, change the label's property Alignment to taCenter, careful there are 2 similar named properties, change its property named Layout to tlCenter, open its font property and change the font's size and style to the appropriate amount to much your image and you are ready make sure you have enough space for all the numbers you might need ee 2, 3 or more digits depending the number of steps you have.
Unfortunately there is no control that draws a simple line you could emulate it using TShape with the shape property set to stRectangle and the height to 1 so it shows only the top line, set the brush.style to bsClear and the pen.color to what ever gray color you need.