파일 이름을 DB에 insert하는 것인가요?
그렇다면

먼저 db를 만드시고

unit Unit1;

interface

uses
  Windows, Messages, Classes, SysUtils, Graphics, Controls, StdCtrls, Forms,
  Dialogs, DBCtrls, DB, DBGrids, DBTables, Grids, ExtCtrls;

type
  TForm1 = class(TForm)
    Table1Name: TStringField;
    DBGrid1: TDBGrid;
    DBNavigator: TDBNavigator;
    Panel1: TPanel;
    DataSource1: TDataSource;
    Panel2: TPanel;
    Table1: TTable;
    Table1No: TAutoIncField;
    Button1: TButton;
    procedure FormCreate(Sender: TObject);
    procedure Button1Click(Sender: TObject);
  private
    { private declarations }
  public
    { public declarations }
  end;

var
  Form1: TForm1;

implementation

{$R *.DFM}
var
  GogakNo : LongInt;

procedure TForm1.FormCreate(Sender: TObject);
begin
  Table1.Open;
end;

procedure TForm1.Button1Click(Sender: TObject);
var
  sr: TSearchRec;
  FileAttrs: Integer;
begin
  if FindFirst('c:*.*', FileAttrs, sr) = 0 then
  begin
    repeat
      Table1.Append;
      Table1.FieldByName('Name').AsString := sr.Name;
    until FindNext(sr) <> 0;
    FindClose(sr);
  end;
end;

end.

라고 해 보세요.