Using mutexs to prevent the running of more than one instance of the program

1. I am running Win XP SP2 with Delphi 7.

2. There are numerous fine examples of using a mutex to stop multiple
instances of a program running.

They all have something like the following;

  mutex := CreateMutex(nil, True, UniqueAppName);
  if GetLastError = ERROR_ALREADY_EXISTS ...

I've tried such stuff and the mutex always gets created and GetLastError is
always 0.

I test by compiling, starting program outside delphi, and then running in
IDE so I can watch what happens.

What am I doing that is screwy?

Regards,
Al