uses URLMon;
 
procedure TForm1.Button1Click(Sender: TObject);
var
 URL, Path :PChar;
begin
 try
  Label1.Caption := 'Download started';
  URL := 'http://localhost/';
  Path := 'C:\index.html';
  UrlDownloadToFile(nil, URL, Path, 0, nil);
  Label1.Caption := 'Download finished';
 except
  showmessage('Download canceled');
 end;
end;