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Procedure TForm1.Download;
var FS: TFileStream;
      i : Integer;
Begin
 For i := 0 To StringGrid1.RowCount-1 do
  begin
   FS := TFileStream.Create('Datei', fmCreate); //den Dateinamen musst du dir aus dem URL herausfiltern.
   idHTTP1.Get(StringGrid1.Cells[0,i],FS);
   FS.Free;
   Application.ProcessMessages;
  end;
end;					

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function http_get(slabel: TLabel; httpgo: TIDhttp; sGrid: TStringGrid): boolean;
var
source, destination: string;
FStream: TFileStream;
i : Integer;
begin
 for i:=0 to sGrid.RowCount-1 do
  begin
    source:=sGrid.Cells[0,i];
    if strRScan (Pchar(source), '/')<> nil then
    destination := strRScan (Pchar(source), '/');
    destination:= slabel.Caption +destination;
    FStream:= TFileStream.Create (destination, FmCreate);
    httpgo.Get(source, FStream);
    FStream.Free;
    Application.ProcessMessages;
  end;
end;