[Enan0]

Si se Cierra el programa porque eso dice Que haga en el Except!

Código Delphi [-]
Application.terminate

Significa que Cierre el Programa!

En refencia al codigo de error

Parece ser que no encuentra el HOST

WSANO_DATA
11004
Valid name, no data record of requested type.
The requested name is valid and was found in the database, but it does not have the correct associated data being resolved for. The usual example for this is a host name-to-address translation attempt (using gethostbyname or WSAAsyncGetHostByName) which uses the DNS (Domain Name Server). An MX record is returned but no A record—indicating the host itself exists, but is not directly reachable

lo seaque de aca
http://msdn2.microsoft.com/en-us/library/ms740668.aspx