[marcoszorrilla]

Haz la prueba con esta información, que yo reconozco que no he comprobado si funciona o no, de paso si te sirve nos lo dices, para añadirle la información de que funciona.

Under Win32, unless you are running from a removable drive, you
cannot delete a running executable.

You can have Windows delete the executable the next time Windows is
ran by adding an entry to the RunOnce key in the Windows registry under:

HKEY_LOCAL_MACHINE\Software\Microsoft\Windows\CurrentVersion\RunOnce

You can name the key anything you like, and specify a command line to
another executable or to a dos command passed to command.com.

Example:

uses
  Registry;

procedure TForm1.Button1Click(Sender: TObject);
var
  reg: TRegistry;

begin
  reg := TRegistry.Create;

  with reg do begin
    RootKey := HKEY_LOCAL_MACHINE;
    LazyWrite := false;
    OpenKey('Software\Microsoft\Windows\CurrentVersion\RunOnce', false);
    WriteString('Delete Me!','command.com /c del FILENAME.EXT');
    CloseKey;
    free;
  end;
end;

Un Saludo.