書くの忘れてましたがgdiplus.dllはMicrosoftのDLLです。
XP以外ではMSのサイトから落としてくる必要があるのですが、これをアプリにくっつけて再配布できるか知りたいのです。
以下の辺りと思うのですが…。(添付のlicense.txtより抜粋)

* Distribution Terms. You may reproduce and distribute an unlimited number of copies of the Sample Code and/or
Redistributable Code (collectively "Redistributable Components") as described above in object code form, provided that (a)
you distribute the Redistributable Components only in conjunction with and as a part of your Application solely for use with a
Microsoft Operating System Product; (b) your Application adds significant and primary functionality to the Redistributable
Components; (c) you distribute your Application containing the Redistributable Components pursuant to an End-User License
Agreement (which may be "break-the-seal", "click-wrap" or signed), with terms no less protective than those contained herein;
(d) you do not permit further redistribution of the Redistributable Components by your end-user customers; (e) you do not use
Microsoft's name, logo, or trademarks to market your Application; (f) you include a valid copyright notice on your
Application; and (g) you agree to indemnify, hold harmless, and defend Microsoft from and against any claims or lawsuits,
including attorneys' fees, that arise or result from the use or distribution of your Application. Contact Microsoft for the
applicable licensing terms for all other uses and/or distribution of the Redistributable Components.

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GDI+はC++型のクラスを用いる形なので、上記ユニットはNewInstanceをoverrideしてDelphiのクラスをGDI+のクラスとして振る舞わせてます。