[neuronic]

buenas mi primera aportacion, espero que no sea la ultima,xd, no ser si soluciona tu poblema

Código Delphi [-]
unit Unit1;

interface

uses
  Windows, Messages, SysUtils, Variants, Classes, Graphics, Controls, Forms,
  Dialogs, StdCtrls, Menus;

type
  TForm1 = class(TForm)
    MainMenu1: TMainMenu;
    Button1: TButton;
    procedure Button1Click(Sender: TObject);
    procedure ExitClick(Sender: TObject);
  private
    { Private declarations }
  public
    { Public declarations }
  end;

var
  Form1: TForm1;

implementation

{$R *.dfm}

procedure TForm1.Button1Click(Sender: TObject);
var item: TMenuItem;
        item2: TMenuItem;
    begin
      item := TMenuItem.Create(MainMenu1);
      item.Caption := '&File';
      MainMenu1.Items.Add(item);

      item2 := TMenuItem.Create(MainMenu1);
      item2.Caption := 'E&xit';
      item2.OnClick := ExitClick;
      item.Add(item2);

    end;
        procedure TForm1.ExitClick(Sender: TObject);
    begin
      Application.Terminate;
    end;
end.