Пример написания FileListBox

1) WinAPI

{uses ShellApi}
procedure TForm1.ListBox1DblClick(Sender: TObject);
var s:string;
begin
  s:=listbox1.Items[SendMessage(ListBox1.Handle,lb_GetCurSel,0,0)];
  if edit1.Text[length(edit1.text)]<>'\' then edit1.text:=concat(edit1.text+'\');
  if (not FileExists(edit1.text+s)) and (s[1]='[')and(s[length(s)]=']') then
    DlgDirList( handle, PChar(edit1.text+copy(s,2,length(s)-2)),
                ListBox1.Handle,
                Edit1.Handle,
                faAnyFile
              );
  if edit1.Text[length(edit1.text)]<>'\' then edit1.text:=concat(edit1.text+'\');
  if FileExists(edit1.text+s) then
  begin
    caption:=edit1.text+s;
    ShellExecute(handle,'open',PChar(edit1.text+s),'','c:\',sw_show);
  end
end;

procedure TForm1.FormShow(Sender: TObject);
begin
  edit1.Width:=1024*8-1;
  edit1.Visible:=false;
  DlgDirList(handle, PChar('c:\'),
             ListBox1.Handle,
             Edit1.Handle,
             faAnyFile
            );
  listbox1.Sorted:=false;
  listbox1.Sorted:=true;
end;

2)

{uses ShellAPI}
type PListBox=^TListBox;
Procedure FillList(List:PListBox;pathh,mask:string;attr:Cardinal);
var path:string;
ser:TSearchRec;
begin
  path:=pathh;
  if path[length(path)]<>'\' then path:=path+'\';
  List^.Items.Clear;
  if FindFirst(path+mask,attr,ser)<>0 then exit;
  List^.Items.Add(ser.Name);
  while FindNext(ser)=0 do
  begin
    if ser.Attr and faDirectory=faDirectory then 
      List^.Items.Add(' ['+Ser.Name+']')
    else 
      List^.Items.Add(Ser.Name);
  end;
  List^.Sorted:=false;
  list^.Sorted:=true;
end;

procedure TForm1.FormCreate(Sender: TObject);
begin
  FillList(@ListBox1,edit1.text,'*.*',faAnyFile);
end;

procedure TForm1.ListBox1DblClick(Sender: TObject);
var s:string;
begin
  s:=ListBox1.Items[SendMessage(ListBox1.Handle,lb_GetCurSel,0,0)];
  if (not FileExists(edit1.text+s)) and (s[1]+s[2]=' [') and (s[length(s)]=']') then
  begin
    FillList(@ListBox1,edit1.text+copy(s,3,length(s)-3),'*.*',faAnyFile);
    edit1.text:=edit1.text+copy(s,3,length(s)-3)+'\';
  end;
  if FileExists(edit1.text+s) then 
    ShellExecute(handle,'open',PChar(edit1.text+s),'','c:\',sw_show);
  end;

Добавим иконки:

{uses ShellAPI}
type PListBox=^TListBox;

Procedure FillList(List:PListBox;pathh,mask:string;attr:Cardinal);
var path:string;
ser:TSearchRec;
begin
  path:=pathh;
  if path[length(path)]<>'\' then path:=path+'\';
  List^.Items.Clear;
  if FindFirst(path+mask,attr,ser)<>0 then exit;
  List^.Items.Add(ser.Name);
  while FindNext(ser)=0 do
  begin
    if ser.Attr and faDirectory=faDirectory then 
      List^.Items.Add(' ['+Ser.Name+']')
    else 
      List^.Items.Add(Ser.Name);
  end;
  List^.Sorted:=false;
  list^.Sorted:=true;
end;

procedure TForm1.FormCreate(Sender: TObject);
begin
  FillList(@ListBox1,edit1.text,'*.*',faAnyFile);
  listbox1.itemheight:=18;
end;

procedure TForm1.ListBox1DblClick(Sender: TObject);
var s:string;
  Icon:hIcon;
  IconIndex:word;
begin
  IconIndex:=1;
  s:=ListBox1.Items[SendMessage(ListBox1.Handle,lb_GetCurSel,0,0)];
  if (not FileExists(edit1.text+s)) and (s[1]+s[2]=' [') and (s[length(s)]=']') then
  begin
    FillList(@ListBox1,edit1.text+copy(s,3,length(s)-3),'*.*',faAnyFile);
    edit1.text:=edit1.text+copy(s,3,length(s)-3)+'\';
  end;
  if FileExists(edit1.text+s) then 
    ShellExecute(handle,'open',PChar(edit1.text+s),'','c:\',sw_show);
end;

procedure TForm1.Button1Click(Sender: TObject);
var a:array of integer;
i:integer;
begin
  SetLength(a,ListBox1.Items.Count+1);
  //ZeroMemory(@a,ListBox1.Items.Count*4);
  for i:=0 to ListBox1.Items.Count+1 do
    a[i]:=10;
  beep;
  beep;
  beep;
  beep;
  beep;
  SendMessage(ListBox1.Handle,lb_SetTabStops,ListBox1.Items.Count,Integer(@a));
end;

procedure TForm1.ListBox1DrawItem(Control: TWinControl; Index: Integer;
  Rect: TRect; State: TOwnerDrawState);
var icon:hIcon;
  iconindex:word;
  bm:TBitmap;
begin
  iconindex:=1;
  bm:=TBitmap.create;
  bm.Width:=34;
  bm.Height:=34;
  ListBox1.Canvas.TextOut(17+Rect.Left,Rect.Top,ListBox1.Items[index]);
  if (copy(ListBox1.Items[index],1,2)=' [') and 
    (not FileExists(edit1.text+ListBox1.Items[Index])) then
    begin
      Icon := ExtractAssociatedIcon(HInstance,
                PChar(edit1.text+
                      copy(ListBox1.Items[Index],3,length(ListBox1.Items[Index])-3)
                ),
                IconIndex
              );
      DrawIcon(bm.Canvas.Handle, 0, 0, Icon);
      bm.Canvas.StretchDraw(classes.rect(0,0,16,16),bm);
      ListBox1.Canvas.CopyRect(classes.rect(0,rect.top,16,rect.top+16),
                               bm.canvas,
                               classes.rect(0,0,16,16)
                              );
    end
  else
    begin
      Icon := ExtractAssociatedIcon(HInstance,
                PChar(edit1.text+ListBox1.Items[Index]),
                IconIndex);
      DrawIcon(bm.Canvas.Handle, 0, 0, Icon);
      bm.Canvas.StretchDraw(classes.rect(0,0,16,16),bm);
      ListBox1.Canvas.CopyRect(classes.rect(0,rect.top,16,rect.top+16),
                               bm.canvas,
                               classes.rect(0,0,16,16));
    end;
  bm.Free;
  CloseHandle(Icon);
end;

procedure TForm1.ListBox1KeyDown(Sender: TObject; var Key: Word;
                                 Shift: TShiftState);
begin
  ListBox1.Repaint;
end;

procedure TForm1.ListBox1MouseDown(Sender: TObject; Button: TMouseButton;
                                   Shift: TShiftState; X, Y: Integer);
var k:word;
begin
  k:=0;
  Listbox1.OnKeyDown(sender,k,shift);
end;