Delphi Download Video from the Internet using URLDownloadToFile

How can I implement the following Windows function in Delphi?

HRESULT URLDownloadToFile(      
  LPUNKNOWN pCaller,
  LPCTSTR szURL,
  LPCTSTR szFileName,
  DWORD dwReserved,
  LPBINDSTATUSCALLBACK lpfnCB
);  

URLDownloadToFile Function: http://msdn.microsoft.com/en-us/library/ms775123(VS.85).aspx

The question that prompted me was asked here.

Downloading flv from youtube using curlpp on top of curl - video not playing

Regards, Pieter.