Can a Windows dll retrieve its own filename?

I think you’re looking for GetModuleFileName.

http://www.swissdelphicenter.ch/torry/showcode.php?id=143:

{
  If you are working on a DLL and are interested in the filename of the
  DLL rather than the filename of the application, then you can use this function:
}

function GetModuleName: string;
var
  szFileName: array[0..MAX_PATH] of Char;
begin
  FillChar(szFileName, SizeOf(szFileName), #0);
  GetModuleFileName(hInstance, szFileName, MAX_PATH);
  Result := szFileName;
end;

Untested though, been some time since I worked with Delphi 🙂