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type
  TOnSearchCompleteEvent = procedure(FoundURLs: TStrings) of object;

  THTTPSearch = class(TThread)
  private
    FStartURL: String;
    FMaxLevel: Integer;
    FFoundURLs: TStrings;
    FOnSearchComplete: TOnSearchCompleteEvent;
  protected
    procedure SyncEvent;
    procedure Search; 
  public
    constructor Create; override;
    destructor Destroy; override;
    procedure Execute; override;
  published
    property StartURL: String read FStartURL write FStartURL;
    property MaxLevel: Integer read FMaxLevel write FMaxLevel;
    property OnSearchComplete: TOnSearchCompleteEvent read FOnSearchComplete write FOnSearchComplete;
  end;

  TForm1 = class(TForm)
    procedure FormShow(Sender: TObject);
    //OnDestroy nicht vergessen
    procedure Button1Click(Sender: TObject);
    ...
  private
    FSearchThread: THTTPSearch;
  end;

{ THTTPSearch}
constructor THTTPSearch.Create;
begin
  inherited Create(True);
  FFoundURLs := TStringList.Create;
  FLevel := 10;
end;

destructor THTTPSearch.Destroy;
begin
  FFoundURLs.Free;
  inherited Destroy;
end;

procedure THTTPSearch.Execute;
begin
  if FStartURL <> '' then
    Search;
end;

procedure THTTPSearch.Search;
var
  http: TIdHTTP;
begin
  http := ....
  ....
  ...
  //Gefunde URLs zur Liste hinzufügen
  //Die Routine muss immer wieder aufgerufen werden bis man alle URLs durch hat
  
  //Zum Schluss das OnSearchComplete-Ereignis aufrufen
  Synchronize(SyncEvent);
end;

procedure THTTPSearch.SyncEvent;
begin
  if Assigned(FOnSearchComplete) then
    OnSearchComplete(FFoundURLs);
end;

{ TForm1 }
procedure TForm1.FormShow(Sender: TObject);
begin
  SearchThread := THTTPSearch.Create;
end;

procedure TForm1.Button1Click(Sender: TObject);
begin
  SearchThread.StartURL := Edit1.Text;
  SearchThread.Execute;
end;