procedure DownloadFile(const aUrl, aFile: string);
var
aStream: variant;
begin
aStream := CreateOleObject('ADODB.Stream');
aStream.Type := 1;
aStream.Open('URL='+aUrl, 3);
aStream.SaveToFile(aFile);
end;

查过MSDN，但没仔细看这句A URL should be specified using the URL keyword ("URL=scheme://server/folder").

还是你认真呀！