uses  
  ShlObj, ClipBrd;  

procedure CopyFilesToClipboard(FileList: string);  
var  
  DropFiles: PDropFiles;  
  hGlobal: THandle;  
  iLen: Integer;  
begin  
  iLen := Length(FileList) + 2;  
  FileList := FileList + #0#0;  
  hGlobal := GlobalAlloc(GMEM_SHARE or GMEM_MOVEABLE or GMEM_ZEROINIT,  
    SizeOf(TDropFiles) + iLen);  
  if (hGlobal = 0) then raise Exception.Create('Could not allocate memory.');  
  begin  
    DropFiles := GlobalLock(hGlobal);  
    DropFiles^.pFiles := SizeOf(TDropFiles);  
    Move(FileList[1], (PChar(DropFiles) + SizeOf(TDropFiles))^, iLen);  
    GlobalUnlock(hGlobal);  
    Clipboard.SetAsHandle(CF_HDROP, hGlobal);  
  end;  
end;  

// Example, Beispiel:  

procedure TForm1.Button1Click(Sender: TObject);  
begin  
  CopyFilesToClipboard('C:\Bootlog.Txt'#0'C:\AutoExec.Bat');  
end;