When I mouse over the UnitNames within the Uses clause a window pops up showing the UnitName Namespace. For example when I mouseover the SysUtils unit I see SysUtils Namspace in a popup window. If I right-click on SysUtils and choose Open File at Cursor the source code opens in the IDE.
If I right-click and choose Open File at Cursor on some of the other untis I am presented with an Open File dialog box.
How come all the units don't simply just open into the IDE?
This happens when the source (.pas) file isn't on the current Search or Browsing path.
You can usually fix it by simply adding the unit to the project (right-click project in Project Manager, choose 'Add', navigate to the file, and double-click. This adds it to the .dpr file and makes it readily available to the IDE.
You can also add it to the paths using Project->Options->Delphi Compiler->Search Path or Tools->Options->Environment Options->Delphi Options->Library->Browsing Path.