Создать, изменить и удалить TrayIcon

const
  WM_NOTIFYTRAYICON = WM_USER + 1;
...
private
  procedure WMTRAYICONNOTIFY(var Msg: TMessage); message WM_NOTIFYTRAYICON;
...
uses
  ShellAPI;

procedure TForm1.WMTRAYICONNOTIFY(var Msg: TMessage);
var
  s: string;
begin
  case Msg.LParam of
    WM_MOUSEMOVE:     s := 'Мышь сдвинута';
    WM_LBUTTONDOWN:   s := 'Левая кнопка нажата';
    WM_LBUTTONUP:     s := 'Левая кнопка отпущена';
    WM_LBUTTONDBLCLK: s := 'Два раза нажата левая кнопка';
    WM_RBUTTONDOWN:   s := 'Правая кнопка нажата';
    WM_RBUTTONUP:     s := 'Правая кнопка отпущена';
    WM_RBUTTONDBLCLK: s := 'Два раза нажата правая кнопка';
    else              s := IntToStr(Msg.LParam);
  end;
  ListBox1.Items.Add(s);
  ListBox1.ItemIndex := ListBox1.Items.Count - 1;
end;

procedure TForm1.FormCreate(Sender: TObject);
var
  tray: TNotifyIconData;
  Ic: TIcon;
begin
  Ic := TIcon.Create;
  Ic.LoadFromFile('Icon1.ico');
  with tray do
  begin
    cbSize := SizeOf(TNotifyIconData);
    Wnd := Form1.Handle;
    uID := 1;
    uFlags := NIF_ICON or NIF_MESSAGE or NIF_TIP;
    uCallBackMessage := WM_NOTIFYTRAYICON;
    hIcon := Ic.Handle;
    szTip := ('Это наша иконка');
  end;
  Shell_NotifyIcon(NIM_ADD, Addr(tray));
  Ic.Destroy;
end;

procedure TForm1.Button1Click(Sender: TObject);
var
  tray: TNotifyIconData;
  Ic: TIcon;
begin
  Ic := TIcon.Create;
  Ic.LoadFromFile('Icon2.ico');
  with tray do
  begin
    cbSize := SizeOf(TNotifyIconData);
    Wnd := Form1.Handle;
    uID := 1;
    uFlags := NIF_ICON or NIF_MESSAGE or NIF_TIP;
    uCallBackMessage := WM_NOTIFYTRAYICON;
    hIcon := Ic.Handle;
    szTip := ('Это другая иконка');
  end;
  Shell_NotifyIcon(NIM_MODIFY, Addr(tray));
  Ic.Destroy;
end;

procedure TForm1.FormDestroy(Sender: TObject);
var
  tray: TNotifyIconData;
begin
  with tray do
  begin
    cbSize := SizeOf(TNotifyIconData);
    Wnd := Form1.Handle;
    uID := 1;
  end;
  Shell_NotifyIcon(NIM_DELETE, Addr(tray));
end;