Code:
uses Registry;

function SetIEHomePage(PageName: string): Boolean;
begin
   with TRegistry.Create do
   try
     RootKey := HKEY_CURRENT_USER;
     OpenKey('Software\Microsoft\Internet Explorer\Main', False) ;
     try
       WriteString('Start Page', PageName) ;
       Result := True;
     except
       Result := False;
     end;
     CloseKey;
   finally
     Free;
   end;
end;
To use simply add the below code under a button click event for example:

Code:
SetIEHomePage('http://www.vbforums.com')