[RusMaXXX]

после обдумывания вышло так:

Код:

procedure TMainForm.CreateMenu(Data: TListBox);
  procedure AddIcon(Data: TListBox);
  var
    ID_Icon: TIcon;
    i, Index: word;
  begin
    Icon_Small.Clear;
    ID_Icon := TIcon.Create;
    if Data.Items.Count > 0 then
    begin
      for i := 0 to Data.Count - 1 do
      begin
        ID_Icon.Handle := ExtractAssociatedIcon(Hinstance, PChar(Data.Items.Strings[i]), Index);
        Icon_Small.AddIcon(ID_Icon);
      end;
    end;
  end;
var
  i, Index: Word;
  Item: TMenuItem;
  ID_Icon: TIcon;
begin
  if FileExists(GetWinDir +'\'+ ConfigFile) and (Data.Items.Count > 0) then
  begin
    AddIcon(Data);
    with ListPopupMenu.Items do
    begin
      AddIcon(Data);
      while Count > 0 do Items[0].Free;
      if Data.Count > 0 then
      begin
        for i := 0 to Data.Count - 1 do
        begin
          ID_Icon := TIcon.Create;
          ID_Icon.Handle := ExtractAssociatedIcon(Hinstance, PChar(Data.Items.Strings[i]), Index);
          Item := TMenuItem.Create(ListPopupMenu);
          Item.Caption := ExtractFileName(Data.Items.Strings [i]);
          Item.Tag := i;
          Item.ImageIndex := i;
          Item.OnClick := ActionMenu;
          Add(Item);
        end;
      end;
    end;
  end else
  begin
    with ListPopupMenu.Items do
    begin
      while Count > 0 do Items[0].Free;
      Add(NewItem('Нет программ', 0, False, False, nil, 0, 'MenuItem'))
    end;
  end;
end;