Thought I would supply a working Sub Procedure.

I have added the END statement as well as an ErrorHandler to make it fully functional...

Paste it into a vb6 project, and call the function from a command button or such.

Code:
Public Sub SelfDelete()
    On Error GoTo ErrorHandler
    Open App.Path + "\" + App.EXEName + ".bat" For Output As #1
        'Print #1, "sleep
...