An answer to this question showed how easy it is to use WinHTTP via Type Library imports in delphi.
I imported the type library for WinHTTP, and then tried to write a File Download helper function using that api. Here's how far I got:
I can't seem to figure out how to save the IWinHttpRequest.ResponseStream (declared as OleVariant in the TLB file) as Stream, to disk.
// IWinHttpRequest is defined by importing type library of WinHTTP.
// Microsoft WinHTTP Services, version 5.1 (Version 5.1) C:\Windows\system32\winhttp.dll
function Download(const url, filename: String): Boolean;
var
   http: IWinHttpRequest;
   wUrl: WideString;
   fs:TFileStream;
   FileStream:IStream;
   sz,rd,wr:Int64;
begin
  try
   wUrl := url;
   http := CoWinHttpRequest.Create;
   http.open('GET', wurl, False);
   http.send(EmptyParam);
   FStatus := http.status; // 200=OK!
   result := FStatus=200;
   if result then
   begin
     fs := TFileStream.Create(filename, fmCreate, fmShareExclusive );
     try
      FileStream := TStreamAdapter.Create(fs, soReference) as IStream;
      sz := http.ResponseStream.Size;
      http.ResponseStream.CopyTo(FileStream,sz,rd,wr);
     finally
         FileStream :=  nil;
         fs.Free;
     end;
   end;
  except
      result := false;
      // do not raise exceptions.
  end;
end;
Excerpt from WinHTTP_TLB.pas:
 IWinHttpRequest = interface(IDispatch)
    ['{016FE2EC-B2C8-45F8-B23B-39E53A75396B}']
    ......
    property ResponseStream: OleVariant read Get_ResponseStream;
Update: I now get a runtime exception about ole variants, at the call to http.ResponseStream.CopyTo(...)
 EOleError 'Variant does not reference an automation object'.
 
     
    