во, картинки вроде сохраняет 
 
	Код:
	uses
  CDO_TLB, ADODB_TLB;
procedure TForm1.Button1Click(Sender: TObject);
var
   Msg: IMessage;
   Conf: IConfiguration;
   Stream: _Stream;
   URL : widestring;
begin
   URL := 'http://www.delphisources.ru';
   Msg := CoMessage.Create;
   Conf := CoConfiguration.Create;
   try
     Msg.Configuration := Conf;
     Msg.CreateMHTMLBody(URL, 0, '', '') ;
     Stream := Msg.GetStream;
     Stream.SaveToFile('C:\delphisources.mht', adSaveCreateOverWrite) ;
   finally
     Msg := nil;
     Conf := nil;
     Stream := nil;
   end;
end; 
ЗЫЖ CDO_TLB в windows\system32\cdosys.dll