Creating a new component package in Delphi 2005 (Win32)

I am finding on forums question about "How to install a new component in Delphi 2005?" very often. The reason of this question is that in Delphi 2005 the main menu item "Install component" was removed.
I have found a simple step by step tutorial which explains how to do this. Now I am sharing this tutorial with you.

First part of the original tutorial
Second part of the original tutorial
Tutorial translated into Russian by myself