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;