Found a nice and free Win32 UML Tool on the web. It is called StarUML.
StarUML supports Java, C++, C#, Pattern, RationalRose and XMI. Last one is especially important - so I can transform the model to anything I like. Diagrams can also be exported to JPG, EMF, WMF and BMP. It comes with full Delphi source code - so it is easily adaptable.
I like it but even with all these features I think it will not replace my hottest design tool.