procedure CreateExplorerButton;
const
  TagID = '\{10954C80-4F0F-11d3-B17C-00C0DFE39736}\';
var
  Reg: TRegistry;
  ProgramPath: string;
  RegKeyPath: string;
begin
  ProgramPath := 'c:\folder\exename.exe';
  Reg := TRegistry.Create;
  try
    with Reg do
    begin
      RootKey := HKEY_LOCAL_MACHINE;
      RegKeyPath := 'Software\Microsoft\Internet Explorer\Extensions';
      OpenKey(RegKeyPath + TagID, True);
      WriteString('ButtonText', 'Your program Button text');
      WriteString('MenuText', 'Your program Menu text');
      WriteString('MenuStatusBar', 'Run Script');
      WriteString('ClSid', '{1FBA04EE-3024-11d2-8F1F-0000F87ABD16}');
      WriteString('Default Visible', 'Yes');
      WriteString('Exec', ProgramPath);
      WriteString('HotIcon', ',4');
      WriteString('Icon', ',4');
    end
  finally
    Reg.CloseKey;
    Reg.Free;
  end;
end;