uses
  {...} IdHTTP,IdComponent;

type
  TFormMain = class(TForm)
    {...}
  private
    {...}
    procedure HttpWork(ASender: TObject; AWorkMode: TWorkMode; AWorkCount: Int64);
  end;
{...}

procedure TFormMain.Button1Click(Sender: TObject);
var
  Http: TIdHTTP;
  MS: TMemoryStream;
begin
  Http := TIdHTTP.Create(nil);
  try
    MS := TMemoryStream.Create;
    try
      Http.OnWork:= HttpWork;

      Http.Get('http://live.sysinternals.com/ADExplorer.exe',MS);
      MS.SaveToFile('C:\ADExplorer.exe');

    finally
      MS.Free;
    end;
  finally
    Http.Free;
  end;
end;

procedure TFormMain.HttpWork(ASender: TObject; AWorkMode: TWorkMode; AWorkCount: Int64);
var
  Http: TIdHTTP;
  ContentLength: Int64;
  Percent: Integer;
begin
  Http := TIdHTTP(ASender);
  ContentLength := Http.Response.ContentLength;

  if (Pos('chunked',LowerCase(Http.Response.TransferEncoding)) = 0) and
     (ContentLength > 0) then
  begin
    Percent := 100*AWorkCount div ContentLength;

    MemoOutput.Lines.Add(IntToStr(Percent));
  end;
end;