S1:=TStringList.Create;
 S2:=TStringList.Create;
 try    
  for i:=0 to length(Ds)-1 do
    try
     S1.Clear; S2.Clear;
     S1.LoadFromFile(ExtractFilePath(ParamStr(0))+'pdb'+Ds[i].AC+'.ent');
     for j:=0 to S1.Count-1 do
       if IsInDomain(S1[j],Ds[i]) then
         if not (copy(S1[j],1,6) = 'ENDMDL') then
           S2.Add(S1[j])
           else begin
           inc (c);
           raise Exception.Create('');
           end;
     S2.SaveToFile(ExtractFilePath(ParamStr(0))+Ds[i].AC+'.ent');  
     inc (c);
    except            
    end;
 finally
  S1.Free;
  S2.Free;
 end;

procedure SomeOperations;
begin
   try
    S1.LoadFromFile(fullpath+'pdb'+str); // <--

    for j:=0 to S1.Count-1 do
      if IsInDomain(S1[j],Ds[i]) then
        if (copy(S1[j],1,6) <> 'ENDMDL') then
          S2.Add(S1[j])
        else
        begin
          inc (c);
{??}       raise Exception.Create('');
        end;

    S2.SaveToFile(fullpath+str); // <--
    inc (c);
   except
   end;
end;

...

fullpath := ExtractFilePath(ParamStr(0)); // <--

try
 S1:=TStringList.Create;
 S2:=TStringList.Create;

 for i:=0 to length(Ds)-1 do
 begin
   str := Ds[i].AC+'.ent'; // <--
   S1.Clear; S2.Clear;

   SomeOperations;
 end;
finally
 S1.Free;
 S2.Free;
end;

{$ifdef fpc}
{$mode delphi}
{$H+}
{$endif}

program SLTest;

{$ifndef fpc}
{$apptype console}
{$endif}
uses Classes, SysUtils, DateUtils;

var S: string;
   SL: TStringList;
   T: TDateTime;

begin
 if ParamCount > 0 then
   S:=ParamStr(1)
   else begin
   write('Enter a file name: ');
   readln(S);
   end;

 T:=now;
 SL:=TStringLIst.Create;
 try
  SL.LoadFromFile(S);
 finally
  SL.Free;
 end;

 writeln(inttostr(SecondsBetween(T,now))+' seconds for a work');
end.