solucionado!!!
function DownloadToFile(URL, FileName: String): Boolean;
var lpszFile: Array [0..MAX_PATH] of Char;
begin
// Download to cache by getting newest version
if (URLDownloadToCacheFile(nil, PChar(URL), @lpszFile, MAX_PATH, BINDF_GETNEWESTVERSION, nil) = S_OK) then
// Copy to desired file name
result:=CopyFile(@lpszFile, PChar(FileName), False)
else
// Failed
result:=False;
end;