TFTP without Form

I encounter problems with the TFTP component:
I'm working under delphi 2.0 Client/Server, writing a console application
using the TFTP component (as an object created in the application).
Since now I never managed to even connect to my FTP server,
but by hazard, I saw that puting a messagebox call at the end of my code make
it work perfectly. I try to replace it by a sleep and so on, no one made it.
Here is my code :

program ftpsrv;

uses
  SysUtils,
  Classes,
  Windows,
  WinSvc,
  NTObj,
  SvcObj,
  DB,
  ISP,Dialogs,
  DBTables,ExtCtrls;

type TFTPc=class(TFTP)
     procedure FTPProtocolStateChanged(Sender: TObject; ProtocolState: Smallint);
end;

{$R *.RES}
var ftpc : TFTPc;
    compteur : integer;
   
{******** this event protocolstatechanged is
never called if i don't put the messagebox you'll see next **************}
procedure TFTPc.FTPProtocolStateChanged(Sender: TObject; ProtocolState: Smallint);
begin
  case ProtocolState of
    ftpBase : ftpc.Free;
    ftpAuthentication: Authenticate(UserId, Password);
    ftpTransaction: begin
                  {****** when connected I get a file to see if it works}        
            ftpc.GetFile('./docserveurNT4.htm','c:\essai.htm');
                    end;
  end;
end;

begin
{******* create the object}
ftpc:=TFTPc.Create(Nil);
{******* attach the procedure to the event}
ftpc.OnProtocolStateChanged := ftpc.FTPprotocolStateChanged;

ftpc.Password:='3il@hol.fr';
ftpc.RemoteHost:='192.9.200.2';
ftpc.RemotePort:=21;
ftpc.UserId:='anonymous';
ftpc.Connect(ftpc.remoteHost,ftpc.RemotePort);
{????????????????   here is the messagebox ?????????????}
MessageDLG('test',mtinformation,[mbOK],0);
{???????????????? if i don't put this, my file isn't downloaded, just because the
FTP client never connects. the event protocolstatechanged is never called

Please help me !!!!! 8°)