ExtractFileDir extracts the drive and directory parts from FileName.
ExtractFileDrive returns the drive portion of a file name/path.
ExtractFilePath returns the drive and directory portions of a file name.
ExtractFileName extracts the name and extension parts of a file name.
ExtractFileExt returns the extension portions of a file name.
ExpandFileName returns the full path name for a chosen file name.

Example:
This example came from the Directory, Files and Drives web page.

procedure TForm1.Button1Click(Sender: TObject);
 var NPath : string;
 begin
     OpenDialog1.InitialDir := NPath;
     if OpenDialog1.Execute then
      begin
          Memo1.Lines.LoadFromFile(OpenDialog1.FileName);
          NPath := ExtractFilePath(OpenDialog1.FileName);
      end;
  Label1.Caption := NPath;
  Label2.Caption := ExtractFileName(OpenDialog1.FileName);
  Caption := Format('%s - %s', [ExtractFileName(OpenDialog1.FileName), Application.Title]);
 end;

procedure TForm1.Button5Click(Sender: TObject);
begin
  if OpenDialog1.Execute then
   Label1.Caption := ExtractFileDrive(OpenDialog1.FileName);
end;

procedure TForm1.Button5Click(Sender: TObject);
begin
  if OpenDialog1.Execute then
   Label1.Caption := ExtractFileDir(OpenDialog1.FileName);
end;

procedure TForm1.Button5Click(Sender: TObject);
begin
  if OpenDialog1.Execute then
   Label1.Caption := ExtractFileExt(OpenDialog1.FileName);
end;

procedure TForm1.Button5Click(Sender: TObject);
begin
   Memo1.Lines.Add(ExpandFileName(Edit1.Text));
end;

If I typed James.txt into Edit1 then this would be the result on my computer.

C:\Delphi5\AProjects\examples\DrawdeskTopCanvas\James.txt

This gives us the path that I was currently working in and ExpandFileName added the filename that was typed into Edit1.

The Delphi help file states:
ExpandFileName does not verify that the resulting fully qualified path name refers to an existing file, or even that the resulting path exists.