Here‘s how to save a web page as a single file (mht format) using Delphi code:

uses CDO_TLB, ADODB_TLB;
...
PRocedure WB_SaveAs_MHT(WB: TWebBrowser; FileName: TFileName);
var
Msg: IMessage;
Conf: IConfiguration;
Stream: _Stream;
URL : widestring;
begin
if not Assigned(WB.Document) then Exit;
URL := WB.LocationURL;

Msg := CoMessage.Create;
Conf := CoConfiguration.Create;
try
Msg.Configuration := Conf;
Msg.CreateMHTMLBody(URL, cdoSuppressAll, ‘‘, ‘‘);
Stream := Msg.GetStream;
Stream.SaveToFile(FileName, adSaveCreateOverWrite);
finally
Msg := nil;
Conf := nil;
Stream := nil;
end;
end; (* WB_SaveAs_MHT *)

Sample usage:

//first navigate
WebBrowser1.Navigate(‘http://delphi.about.com‘);

//then save
WB_SaveAs_MHT(WebBrowser1,‘c:\WebBrowser1.mht‘);

Note 1: The _Stream class is defined in ADODB_TLB unit that you probably already have created. The IMessage and IConfiguration interfaces code from cdosys.dll library. CDO stands for Collaboration Data Objects - object libraries designed to enable SMTP Messaging.
The CDO_TLB is an auto generated unit by Delphi. To create it, from the main menu select "Import Type Library", select "C:\WINDOWS\system32\cdosys.dll" then click the "Create unit" button.

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save a web page as a single file (mht format) using Delphi code