type
  private
    procedure BrowserComplete;

....

procedure TForm1.Blabla;
var
  tmp: TWebBrowser;
begin
  for i:=0 to 3 do
  begin
    //Create WebBrowser
    tmp:=TWebBrowser.Create(Self);
    aBrowser[i]:=tmp;
    aBrowser[i].Navigate('about:blank');
    aBrowser[i].DocumentComplete:=BrowserComplete;
  end;
end;