I'm trying to collect the number of "name" (or "bookmark") in MS Excel
and the name of each
"bookmark".

In Excel VB:

set nms = ActiveWorkbook.Names
set wks = Worksheets(1)
for r = 1 to nms.count
    wks.cells(r,2).value  = nms(r).name
    wks.cells(r,3).value  = nms(r).referstorange.Address
next

I don't know how to translate between VB code and  Delphi OLE Call?

It's basically the same in Delphi, except that you use [] instead of ()
to refer to the various indexed properties.  (I assume you know how to
get a reference to Excel and so on.)