monitor click for download in IE

Can some one send me some urls or just a part of code how i can monitor the internet explorer.

What i want is simple something like download accelerator does.
When i want to download a file form my web browser (explorer) i want to get the url on what is clicked and want to pass it to my delphi app.

So i can make my own downloader app that automaticly download files. and not use the explorer download screen.

Does any one ownes or know where to find thos api codes.

I searched and searched but nothing real i find.

Tnx !!!
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