Why this thread raise exception? [duplicate]

Answer 1

You should create thread object with
th := TURLDownload.Create('jgvjk', 'ngkj', 'jkgfjk');

Another issues:

In your thread body you call VCL window using showmessage('Reached'); without synchronization. You should not work with VCL staff without some kind of synchronization - use Synchronize or Queue.

reintroduce is not needed for non-virtual constructor

inherited does nothing in Execute