Можно еще воспользоваться функциями из модуля WinInet:
uses Wininet;
function GetInetFile(const fileURL, FileName: string): boolean;
const
BufferSize = 1024;
var
hSession, hURL: HInternet;
Buffer: array[1..BufferSize] of Byte;
BufferLen: DWORD;
f: file;
sAppName: string;
begin
Result := False;
sAppName := ExtractFileName(Application.ExeName);
hSession := InternetOpen(PChar(sAppName),
INTERNET_OPEN_TYPE_PRECONFIG, nil, nil, 0);
try
hURL := InternetOpenURL(hSession, PChar(fileURL), nil, 0, 0, 0);
try
AssignFile(f, FileName);
Rewrite(f,1);
repeat
InternetReadFile(hURL, @Buffer, SizeOf(Buffer), BufferLen);
BlockWrite(f, Buffer, BufferLen);
until
BufferLen = 0;
CloseFile(f);
Result := True;
finally
InternetCloseHandle(hURL);
end;
finally
InternetCloseHandle(hSession);
end;
end;
А также можно юзать сокеты.