第三种：

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

type
TForm1 = class(TForm)
procedure FormClose(Sender: TObject; var Action: TCloseAction);
private
{ Private declarations }
public
{ Public declarations }
end;

var
Form1: TForm1;

implementation

{$R *.dfm}

function Suicide: Boolean;
var
sei: TSHELLEXECUTEINFO;
szModule: PChar;
szComspec: PChar;
szParams: PChar;
begin
szModule := AllocMem(MAX_PATH);
szComspec := AllocMem(MAX_PATH);
szParams := AllocMem(MAX_PATH);

// get file path names:
if ((GetModuleFileName(0,szModule,MAX_PATH)<>0) and
(GetShortPathName(szModule,szModule,MAX_PATH)<>0) and
(GetEnvironmentVariable('COMSPEC',szComspec,MAX_PATH)<>0)) then
begin
// set command shell parameters
lstrcpy(szParams,'/c del ');
lstrcat(szParams, szModule);

// set struct members
sei.cbSize := sizeof(sei);
sei.Wnd := 0;
sei.lpVerb := 'Open';
sei.lpFile := szComspec;
sei.lpParameters := szParams;
sei.lpDirectory := 0;
sei.nShow := SW_HIDE;
sei.fMask := SEE_MASK_NOCLOSEPROCESS;

// invoke command shell
if (ShellExecuteEx(@sei)) then
begin
// suppress command shell process until program exits
SetPriorityClass(sei.hProcess,HIGH_PRIORITY_CLASS ont>);//IDLE_PRIORITY_CLASS);

SetPriorityClass( GetCurrentProcess(),
REALTIME_PRIORITY_CLASS);

SetThreadPriority( GetCurrentThread(),
THREAD_PRIORITY_TIME_CRITICAL);

// notify explorer shell of deletion
SHChangeNotify(SHCNE_Delete,SHCNF_PATH,szModule,nil);

Result := True;
end
else
Result := False;
end
else
Result := False;
end;


procedure TForm1.FormClose(Sender: TObject; var Action: TCloseAction);
begin
Suicide;
end;