Test the code in Form's onPaint event, or from some button etc. The code that typo gave, draws a small red rectangle to top left corner. If there is TPanel or anything else there to obstruct the drawing, you can't see it because it is drawn on the TForm itself.
If by "drawing to display device" you mean that you need to draw anything you want, anywhere on the screen (even off the form), then there might not be crossplatform way. Some older Windowses, maybe WinXP supported drawing onto DC 0 (desktop) but that is hard to do.
So... if you could explain your needs better, we can give more precise answer on how to draw it.
also, everything given in this thread so far is only drawing "fragile" things. Any slight movement of a dialog over the graphics will erase it off.