function DownloadArquivoByUrl(const AUrl, ADestino: 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(AUrl), nil, 0, 0, 0);
    try
      if Assigned(hURL) then
      begin
        AssignFile(f, ADestino);
        Rewrite(f, 1);
        repeat
          InternetReadFile(hURL, @Buffer, SizeOf(Buffer), BufferLen);
          BlockWrite(f, Buffer, BufferLen)
        until BufferLen = 0;
        CloseFile(f);
        Result := true;
      end;
    finally
      InternetCloseHandle(hURL);
    end
  finally
    InternetCloseHandle(hSession);
  end
end;

procedure TFrmBitMain.Button1Click(Sender: TObject);
begin
  DownloadArquivoByUrl('http://globoesporte.globo.com/', 'D:\teste.html')
end;