Operations in separate TThread block GUI thread

I used this tutorial http://delphi.about.com/od/kbthread/a/thread-gui.htm to create a class that asynchronously downloads a file from the internet in another thread with a TDownLoadURL. I did this because I want to download a file without blocking the UI thread so the program doesn't become unresponsive during large downloads, the progress bar can update, etc.

I am having a problem because even though I have done the download in another thread (inheriting from TThread and doing the work in the Execute method) the GUI thread seems to be blocked and does not process messages until the download is finished. Here is the code for my class: http://codepad.org/nArfOPJK (it's just 99 lines, a simple class). I am executing it by this, in the event handler for a button click:

var
    frame: TTProgressFrame;
    dlt: TDownloadThread;
begin
    dlt := TDownloadThread.Create(True);
    dlt.SetFile('C:\ohayo.zip');
    dlt.SetURL('http://download.thinkbroadband.com/512MB.zip');
    dlt.SetFrame(frame);
    dlt.SetApp(Application);
    dlt.Start;

Note: The SetApp method was for when I was manually calling app.ProcessMessages from inside the UpdateDownloadProgress method of my class TDownloadThread. This would keep the GUI from being unresponsive, but it made the progress bar behave wierdly (the moving glowing light thing of aero's progress bar moving way too fast), so I removed it. I want to fix this properly, and if I have to call ProcessMessages there's really no point in multithreading it.

Can someone help me fix this problem? Thanks.