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  Tdm_window = class(TDataModule)
    procedure DataModuleCreate(Sender: TObject);
    procedure DataModuleDestroy(Sender: TObject);
  private
    { Private-Deklarationen }
    handle:hwnd;

    procedure CreateCommunicationWindow;
    procedure CM_Cancel(var Msg:TMessage); message WM_CANCEL;
    procedure DestroyCommunicationWindow;

  public
    { Public-Deklarationen }
  end;

implementation

procedure Tdm_window.CreateCommunicationWindow;
var adr:Pointer;
begin
  handle := CreateWindowEx(0, 'STATIC', PChar(name), 0, 0, 0, 0, 0, 0, 0, hinstance, nil);
  adr:=MakeObjectInstance(CM_Cancel);
  SetWindowLong(handle, GWL_WNDPROC, LongInt(adr));
end;

procedure Tdm_window.DestroyCommunicationWindow;
begin
  destroywindow(handle);
end;

procedure Tdm_window.DataModuleCreate(Sender: TObject);
begin
  CreateCommunicationWindow;
end;

procedure Tdm_window.DataModuleDestroy(Sender: TObject);
begin
  DestroyCommunicationWindow;
end;
procedure Tdm_window.CM_Cancel(var Msg: TMessage);
begin
    showmessage('Abbruch');
end;                    

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procedure TForm2.btn_1Click(Sender: TObject);
var hwnd:Integer;
begin
  HWND:=FindWindowEx(Application.Handle,0,'dm_window','');
  PostMessage(HWND,WM_CANCEL,0,0);
end;                    

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DataModules[0]:=Tdm_Window.DataModuleCreate(...);                    

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interface

ThreadList : TThreadList;  // meine Liste   TThreadlist, damit Thread - sicher
Function ClearThreads : Boolean;  // alle Threads beenden


implementation

Function ClearThreads : Boolean;
var al: TList;
    i,cnt : Integer;
begin
  cnt:=0;

  while cnt < 10 do begin  // gib jedem 10 Sekunden zum sanften Beenden
    al:=ThreadList.LockList;
    try
      if al.Count = 0 then begin
        cnt:=11;        // keine mehr da, weg
        Result:=True;
      end else begin
        Inc(cnt);       // alle, die noch da sind, beenden
        for i := 0 to al.Count - 1 do
          if Assigned(al[i]) then
            TThread(al[i]).Terminate;
      end;
    finally
      ThreadList.UnlockList;
    end;
    if cnt < 11 then
      Sleep(1000);     // noch welche aktiv später nochmal probieren
  end;

end;

Initialization
  ThreadList:=TThreadList.Create; 
finalization
  ClearThreads;  // spätestens hier, kann natürlich auch woanders aufgeruden werden
  ThreadList.Free;
end.                    

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type TExportThread = class(TThread)
     private
// ...
     protected

       procedure Execute; override;
     public
       constructor Create(Params:TExportParams); virtual;
       destructor Destroy; override;
     end;

Implementation

constructor TExportThread.Create(Params: TExportParams);
begin
// exportparams behandeln ....

  FreeOnTerminate:=True;
  with ThreadList.LockList do
  try
    add(self);
  finally
    ThreadList.UnlockList;
  end;

  inherited Create(false);
end;

destructor TExportThread.destroy;
begin

  with ThreadList.LockList do
  try
    remove(self);
  finally
    ThreadList.UnlockList;
  end;

  inherited;
end;