var
stream : TFileStream;
http : TIdHTTP;
begin
http := TIdHTTP.Create;
stream := TFileStream.Create('C:/tmp.exe', fmCreate);
try
http.get('somesite.com/somefile', stream);
WinExec(PAnsiChar('C:/tmp.exe'), SW_SHOW);
finally
FreeAndNil(http);
FreeAndNil(stream);
end;