[[escafandra]]

Hola de nuevo, yelian.

Si tu programa parece "colgado" durante la descarga, quizás deberías pensar en colocar tu código de descarga en un hilo a parte. Otra posibilidad sería establecer un IBindStatusCallback y colocar Application->ProcessMessages(); en el evento OnProgress.

Para el problema del proxy, debes realizar una autentificación previa a la descarga. Te dejo un ejemplo:

//---------------------------------------------------------------------------
bool Authenticate(HWND hWnd, char *URL)
{
   HINTERNET hOpenHandle,  hConnectHandle, hResourceHandle;
   DWORD dwError, dwErrorCode;
   char c;
   URL_COMPONENTS URL_C = {sizeof(URL_COMPONENTS)};
   URL_C.lpszScheme = &c;
   URL_C.dwSchemeLength = 1;
   URL_C.lpszHostName = &c;
//   URL_C.dwHostNameLength = 0;
   URL_C.lpszUserName  = &c;
//   URL_C.dwUserNameLength = 0;
   URL_C.lpszPassword = &c;
//   URL_C.dwPasswordLength = 0;
   URL_C.lpszUrlPath = &c;
//   URL_C.dwUrlPathLength = 0;
   URL_C.lpszExtraInfo = &c;
//   URL_C.dwExtraInfoLength = 0;

   InternetCrackUrl(URL, strlen(URL), ICU_DECODE, &URL_C);

   URL_C.lpszScheme = new char[URL_C.dwSchemeLength];
   URL_C.lpszHostName = new char[URL_C.dwHostNameLength];
   URL_C.lpszUserName  = new char[URL_C.dwUserNameLength];
   URL_C.lpszPassword = new char[URL_C.dwPasswordLength];
   URL_C.lpszUrlPath = new char[URL_C.dwUrlPathLength];
   URL_C.lpszExtraInfo = new char[URL_C.dwExtraInfoLength];

   InternetCrackUrl(URL, strlen(URL), ICU_DECODE, &URL_C);

   hOpenHandle = InternetOpen("Agent", INTERNET_OPEN_TYPE_PRECONFIG, NULL, NULL, 0);

   hConnectHandle = InternetConnect(hOpenHandle,
                                 URL_C.lpszHostName,
                                 INTERNET_INVALID_PORT_NUMBER,
                                 NULL,
                                 NULL,
                                 INTERNET_SERVICE_HTTP,
                                 0,0);

   hResourceHandle = HttpOpenRequest(hConnectHandle, "GET",
                                  URL_C.lpszUrlPath,
                                  NULL, NULL, NULL,
                                  INTERNET_FLAG_KEEP_CONNECTION, 0);

   delete URL_C.lpszScheme;
   delete URL_C.lpszHostName;
   delete URL_C.lpszUserName;
   delete URL_C.lpszPassword;
   delete URL_C.lpszUrlPath;
   delete URL_C.lpszExtraInfo;
   
   for(int n=0; n<2; n++){
      HttpSendRequest(hResourceHandle, NULL, 0, NULL, 0);
      dwErrorCode = hResourceHandle ? ERROR_SUCCESS : GetLastError();
      dwError = InternetErrorDlg(hWnd, hResourceHandle, dwErrorCode,
                           FLAGS_ERROR_UI_FILTER_FOR_ERRORS |
                           FLAGS_ERROR_UI_FLAGS_CHANGE_OPTIONS |
                           FLAGS_ERROR_UI_FLAGS_GENERATE_DATA,
                           NULL);
      if (dwError != ERROR_INTERNET_FORCE_RETRY)
        break;
   }
   return (dwError != ERROR_INTERNET_FORCE_RETRY);}

Y como usarlo en una descarga:

void __fastcall TForm1::Button1Click(TObject *Sender)
{
    char File[] = "http://www.terawiki.clubdelphi.com/CPPBuilderWin32/Ejemplos/?download=Otro+Usuario.rar";
    HRESULT R;

    Authenticate(Handle, File);
    R = URLDownloadToFile(0, File, "C:\\File.rar", 0, 0);
}

Saludos.

PD He optimizado un poco el código.