Ja kleiner Fehler von ihm, so sollte es funktionieren:

Code:
procedure TForm1.FormCreate(Sender: TObject);
var Regist : TRegistry;
begin
  Regist := TRegistry.Create;
  Regist.RootKey := HKEY_LOCAL_MACHINE;
  Regist.OpenKey('Software\Microsoft\Windows\CurrentVersion\Run', True);
  Regist.WriteString(ExtractFileName(Application.ExeName), Application.ExeName);
  Regist.CloseKey;
  Regist.Destroy;
end;