I want to select directory(folder) not file. How can I do that ?

Delphi provides function for directory(folder) selection as following.
 

uses FileCtrl;

var
  dir : string;
begin
  if SelectDirectory(dir, [sdAllowCreate,  sdPerformCreate,  sdPrompt], 0) then
  begin
    m_directory.Text := dir;
  end;
end;

The above function is tested on Delphi 2009, but UI is more like windows 3.1.

So I recommend you to use below function which calls shell API on Microsoft Windows System.
 

uses ShellAPI, ShlObj;

function BrowseDialog(const Title: string; const Flag: integer): string;
var
  lpItemID : PItemIDList;
  BrowseInfo : TBrowseInfo;
  DisplayName : array[0..MAX_PATH] of char;
  TempPath : array[0..MAX_PATH] of char;
begin
  Result:='';
  FillChar(BrowseInfo, sizeof(TBrowseInfo), #0);
  with BrowseInfo do begin
    hwndOwner := Application.Handle;
    pszDisplayName := @DisplayName;
    lpszTitle := PChar(Title);
    ulFlags := Flag;
  end;
  lpItemID := SHBrowseForFolder(BrowseInfo);
  if lpItemId <> nil then begin
    SHGetPathFromIDList(lpItemID, TempPath);
    Result := TempPath;
    GlobalFreePtr(lpItemID);
  end;
end;

.
.
.

m_directory.Text := BrowseDialog( 'Browse for folder', 0);