[delphi.com.ar]

No se si hay una forma mas sencilla, pero esto tiene que funcionar:

unit Unit1;

interface

uses
  Windows, Messages, SysUtils, Classes, Graphics, Controls, Forms, Dialogs;

type
  TForm1 = class(TForm)
    procedure FormCreate(Sender: TObject);
  protected
    procedure WndProc(var Message: TMessage); override;
  private
  public
  end;

var
  Form1: TForm1;

Const
  MI_MENU = 100;

implementation

{$R *.DFM}

procedure TForm1.FormCreate(Sender: TObject);
var
  hSysMnu: HMENU;
begin
  { Averigua el Handle del System Menu de la Ventana }
  hSysMnu := GetSystemMenu(Handle, False);

  { Agrega un Separador }
  AppendMenu(hSysMnu, MF_SEPARATOR, 0, '');

  { Agrega la Opción }
  AppendMenu(hSysMnu, MF_BYPOSITION, MI_MENU, 'Mi &Opción');
end;

procedure TForm1.WndProc(var Message: TMessage);
begin
  if (Message.Msg = WM_SYSCOMMAND) and (Message.wParam = MI_MENU) then
    ShowMessage('Ha seleccionado mi Opción')
  else
    inherited;
end;

end.

Saludos!