Question:
How do I create a file association for my application?
Answer:
In Win32, create a new registry entry under the 
HKEY_CLASSES_ROOT root key that points to the file 
extension, the command line to invoke, and the icon to 
display. Under Win16, simply file extension and the command 
line to invoke in the [Extensions] sections of Win.ini.
Example:
uses
 Registry, {For Win32}
 IniFiles; {For Win16}
{For Win32}
procedure TForm1.Button1Click(Sender: TObject);
var
 reg: TRegistry;
begin
 reg := TRegistry.Create;
 reg.RootKey := HKEY_CLASSES_ROOT;
 reg.LazyWrite := false;
 {Add Program Support}
 reg.OpenKey('.bor\shell\open\command',
 true);
{Invoke the program passing the file name as the first parameter}
 reg.WriteString('',
 'C:\Program Files\Borland\Delphi 3\Project1.exe %1');
 {Add Icon Display}
 reg.CloseKey;
 reg.OpenKey('.bor\DefaultIcon',
 true);
{Use the first icon in the executable to display}
 reg.WriteString('',
 'C:\Program Files\Borland\Delphi 3\Project1.exe,0');
 reg.CloseKey;
 reg.free;
end;
{For Win16}
procedure TForm1.Button2Click(Sender: TObject);
var
 WinIni : TIniFile;
 WinIniFileName : array[0..MAX_PATH] of char;
 s : array[0..64] of char;
begin
 GetWindowsDirectory(WinIniFileName, sizeof(WinIniFileName));
 StrCat(WinIniFileName, '\win.ini');
 WinIni := TIniFile.Create(WinIniFileName);
 WinIni.WriteString('Extensions',
 'bor',
 'C:\PROGRA~1\BORLAND\DELPHI~1\PROJECT1.EXE ^.bor');
 WinIni.Free;
 StrCopy(S, 'Extensions');
 SendMessage(HWND_BROADCAST, WM_WININICHANGE,
 0, LongInt(@S));
end;