uses
    Registry;

procedure TForm1.Button1Click(Sender: TObject);
var
    R : TRegIniFile;
begin
    R := TRegIniFile.Create('');
    with R do
        begin
            RootKey := HKEY_CLASSES_ROOT;
            WriteString('.myext','','MyExt');
            WriteString('MyExt','','Some description of MyExt files');
            WriteString('MyExt\DefaultIcon','','C:\MyApp.Exe,0');
            WriteString('MyExt\Shell','','This_Is_Our_Default_Action');
            WriteString('MyExt\Shell\First_Action',
                        '','This is our first action');
            WriteString('MyExt\Shell\First_Action\command','',
                        'C:\MyApp.Exe /LotsOfParamaters %1');
            WriteString('MyExt\Shell\This_Is_Our_Default_Action','',
                        'This is our default action');
            WriteString('MyExt\Shell\This_Is_Our_Default_Action\command',
                        '','C:\MyApp.Exe %1');
            WriteString('MyExt\Shell\Second_Action',
                        '','This is our second action');
            WriteString('MyExt\Shell\Second_Action\command',
                        '','C:\MyApp.Exe /TonsOfParameters %1');
            Free;
        end;
end;