A short and concrete question about dblib.dll

[Gosh]

Only tip: if you want connect using instance name (i.e. other than default, which is listening on TCP port 1433), then SQL Server Browser Service must run.
If you know on which port is listening your instance SQLEXP, then you can try conect using HostName='CPC:1433'
Read also: https://msdn.microsoft.com/en-us/ms175043.aspx

Port 1433 is already opened, I've checked again. Whatever I do Lazarus returns error codes 20009 and 20013

[LacaK]

In link, which I posted is stated:
Instances of SQL Server Express, SQL Server Compact, and named instances of the Database Engine use dynamic ports.

So SQL Server Express probably does not listens on port 1433.
If you connect using instance name (as is your case) there must be running SQL Server Browser Service, which listens on UDP port 1434 (so also this port must be opened on Firewall).
Read also here: https://technet.microsoft.com/en-us/library/ms181087(v=sql.120).aspx

[miab3]

@Gosh

I had a similar problem with the current ZEOS 7.2beta and 7.3beta and Windows 10-64.
It turned out the missing installation:
Microsoft Visual C++ 2010 Redistributable Package... .

Michal