// note, that PrevCaption and CurrCaption must not be local variables in this scope
PrevCaption := CurrCaption;
CurrCaption := GetWinCaption;

if CurrCaption <> PrevCaption then
  ShowMessage('changed')
else
  ShowMessage('not changed');

// or better have just one "global" variable holding the last caption
var
  LastCaption: string;

procedure UpdateCaption;
var
  S: string;
begin
  S := GetWinCaption;

  if S <> LastCaption then
  begin
    LastCaption := S;
    ShowMessage('changed');
  end
  else
    ShowMessage('not changed');
end;