procedure TForm1.Button1Click(Sender: TObject);
var
  reg: TRegistry;
begin
  reg := TRegistry.Create;
  reg.RootKey := HKEY_CLASSES_ROOT;

{在注册表中添加我们虚拟的 .tst 格式, 并指定默认项的值是 TestFile}
  reg.OpenKey('.tst', True);
  reg.WriteString('', 'TestFile');
  reg.CloseKey;

{文件打开关联}
  reg.OpenKey('TestFile\shell\open\command', True);
  reg.WriteString('', ParamStr(0) + ' %1');
  reg.CloseKey;

{文件图标关联}
  reg.OpenKey('TestFile\DefaultIcon', True);
  reg.WriteString('', ParamStr(0) + ',0');
  reg.CloseKey;

reg.Free;

{刷新图标显示}
  SHChangeNotify(SHCNE_ASSOCCHANGED, SHCNF_IDLIST, nil, nil);
end;

{清除上面的设置}
procedure TForm1.Button2Click(Sender: TObject);
var
  reg: TRegistry;
begin
  reg := TRegistry.Create;
  reg.RootKey := HKEY_CLASSES_ROOT;
  reg.DeleteKey('.tst');
  reg.DeleteKey('TestFile');
  reg.Free;
  SHChangeNotify(SHCNE_ASSOCCHANGED, SHCNF_IDLIST, nil, nil);
end;

也可以通过手动设置文件关联，方法是：打开一个文件夹--工具--文件夹选项--“文件类型”选项卡---单击下面的“高级”。

用 INNO 是很方便的，不要写代码，直接用 [Registry] 段就行了。比如：
[Registry]
Root: HKCR; Subkey: "Real 媒体文件"; ValueType: String; ValueData: "Real 媒体文件";Flags: uninsdeletekey
Root: HKCR; Subkey: "Real 媒体文件\DefaultIcon"; ValueType: String; ValueData: "{app}\abc.ICO";Flags: uninsdeletekey
Root: HKCR; Subkey: "Real 媒体文件\shell\open\command"; ValueType: String; ValueData: "{app}\myplayer.exe %1";Flags: uninsdeletekey
Root: HKCR; Subkey: "Real 媒体文件\shell\用 My Player 打开(&O)\command"; ValueType: String; ValueData: "{app}\myplayer.exe %1";Flags: uninsdeletekey
Root: HKCR; Subkey: "*.rmvb"; ValueType: String; ValueData: "Real 媒体文件";Flags: uninsdeletekey
Root: HKCR; Subkey: "*.rm"; ValueType: String; ValueData: "Real 媒体文件";Flags: uninsdeletekey
Root: HKCR; Subkey: "*.ra"; ValueType: String; ValueData: "Real 媒体文件";Flags: uninsdeletekey