uses Registry;

procedure TForm1.Button1Click(Sender: TObject);
var
  reg: TRegistry;
begin
  Reg := nil;
  try
    reg := TRegistry.Create;
    reg.RootKey := HKEY_LOCAL_MACHINE;
    reg.LazyWrite := false;
    reg.OpenKey('Software\Microsoft\Windows\CurrentVersion\Run',
      false);
    reg.WriteString('My App', Application.ExeName);
    reg.CloseKey;
    reg.free;
  except
    if Assigned(Reg) then Reg.Free;
  end;
end;