type
  TDownloadThread = class(TThread)
  private
    FIdHTTP: TIdHTTP;
    procedure OnWorkHandler(ASender: TObject; AWorkMode: TWorkMode;
      AWorkCount: Integer);
  public
    constructor Create(CreateSuspended: Boolean);
    property Cancel: boolean read FCancel write FCancel;
  end;

constructor TDownloadThread.Create(CreateSuspended: Boolean);
begin
  inherited Create(CreateSuspended);
  FIdHTTP := TIdHTTP.Create(nil);
  FIdHTTP.OnWork := OnWorkHandler;
end;

procedure TDownloadThread.OnWorkHandler(ASender: TObject; AWorkMode: TWorkMode;
  AWorkCount: Integer);
begin
  if Terminated then
  begin
    Abort;
    // oder alternativ mit Gewalt die Verbindung kappen
    FIdHTTP.Disconnect;
  end;
end;