uses
 Registry;
...
procedure TForm1.Button1Click(Sender: TObject);
var
 a: TRegistry;
begin
 a := TRegistry.create;
 with a do
 begin
  RootKey := HKEY_CURRENT_USER;
  OpenKey('\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer', true);
  WriteInteger('NoClose', 1);
  CloseKey;
  Free;
 end;
end;