To delude is to trick or fool, often in relation to yourself. If you delude yourself into thinking your mom's chocolate cake is low in fat, you'll be disappointed to find out it's made with two sticks of butter!
If you delude someone into thinking something, you are making a fool of them, or making them foolish. The word shares a root with ludicrous which means completely ridiculous. The thing that you foolishly believe is a delusion. Someone with delusions of grandeur has deluded themselves into thinking they are very, very special.