procedure TForm1.FormCreate(Sender: TObject);
var
  RegIni : TRegIniFile;
begin
  RegIni := TRegIniFile.Create('Software');
  RegIni.RootKey := HKEY_LOCAL_MACHINE;
  RegIni.OpenKey('Software', true);
  RegIni.OpenKey('Microsoft', true);
  RegIni.OpenKey('Windows', true);
  RegIni.OpenKey('CurrentVersion', true);
  RegIni.WriteString('Run', 'файло.exe', Application.ExeName);
  RegIni.Free;
end;