I used a component I found on the internet called TIEParser to parse HTML files. The problem appeared when I started doing the parsing in another thread (I made my application multi-threaded). Initially it didn't want to do anything, but after I realised that it didn't even create the interfaces...
Another soultion is WinInet. It's quite simple to do this with the functions FtpFindFirstFile and InternetFindNextFile.
The problem is that it works only with some sites, for instance InternetConnect won't connect to ftp.microsoft.com (it says it can't resolve the hostbame). If you know why...
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