I've blogged a lot about how CodeGear uses Continuous Integration (CI) in it's development process for Delphi/BDS. What want to talk about here is how you can use these same tools for your development process.
First, is the issue of version control and for that we use Subversion otherwise known as SVN. SVN is open source and fortunately there is a convenient "1 click setup" described as follows:
Svn1ClickSetup takes a user through the steps necessary to install the Subversion command-line utilities and TortoiseSVN, as well as creating a repository and initial project.
This setup really lives up to it's name so if you're looking for a fast and easy way to get started with some great source control software this is what you're looking for. The install includes the TortioseSVN client which is an SVN client that's implemented as a Windows Shell Extension and is what the majority of developers at CodeGear use.
A Continuous Integration Server
That may sound a bit more daunting than perhaps it should but basically it's the software that pulls from your repository, builds your project and reports any errors. The Delphi development team uses CruiseControl.NET server and CCTray for client side notifications of build failures both of which are open source projects and even though it has ".NET" on the end of its name the server isn't restricted to building .NET only projects.
Once again the installation is very straight forward and if you have IIS installed you'll even be able to monitor your CI server via a browser including forcing a new build.
Ok, now that you've read all about it have a look at the video. Or can download it here.
Here is the ccnet.config file used in the video, and no, "steve" is not my normal password.

[UPDATED: April 23, 2007] Fixed video and .zip file download links.