[Vladislav]

Код:

begin
  webmaster := true;
  List := TStringList.Create;
  List.Text := IdHTTP1.Get('http://site.ru');
  R := TRegExp.Create(TForm1.BitBtn1Click);
  R.Pattern := 'src=""';
  R.Multiline := true;
  R.IgnoreCase := true;
  R.Global := true;
  mc := R.Execute(List.Text) as MatchCollection;
  if mc.Count > 0 then
  begin
    m := mc[0] as Match;
    sm := m.SubMatches as SubMatches;
    Stream := TMemoryStream.Create;
    IdHTTP1.Get(sm[0], Stream); 
    CaptchaKey := sm[1];
    R := nil;
    m := nil;
    mc := nil;
    Stream.Position := 0;
{Работаем над картинкой}.
  end;
end;

Поток создаю в Дельфи File - New - Other - Thread Object.