Add new item to "Documents" menu

Use SHAddToRecentDocs function with full path to the file as second parameter. Don't forget to add SHlObj in uses chapter.

uses
  Shlobj;
...
procedure TForm1.Button1Click(Sender: TObject);
begin
  if OpenDialog1.Execute then
    Edit1.Text:=OpenDialog1.FileName;
end;

procedure TForm1.Button2Click(Sender: TObject);
begin
  SHAddToRecentDocs(SHARD_PATH, PChar(Edit1.Text));
end;