type
  TPingThread = class(TThread)
  private
    { Private-Deklarationen }
    FFB: TComplexClass;
  protected
    procedure Execute; override;
  public
    constructor Create(const AHost: string);
    destructor Destroy; override;
    property ReturnValue;
  end;

constructor TPingThread.Create(const AHost: string);
begin
  FreeOnTerminate:= True;
  FFB:= TComplexClass.Create(AHost);
  inherited Create(False);
end;

destructor TPingThread.Destroy;
begin
  FFB.Free;
  inherited;
end;

procedure TPingThread.Execute;
begin
  // Sleep nur zu Zwecken des Debugging
  Sleep(100);
  if Assigned(FFB) then
      ReturnValue:= Integer(FFB.Ping);
end;

procedure TfmMain.FormCreate(Sender: TObject);
begin
    // Die Zuweisung von FHostName lasse ich mal mangels Relevanz weg; ist ein privates Attribut der Klasse
    FObject:= TComplexClass.Create(FHostName);
    PingThreadStart;
end;

procedure TfmMain.PingThreadStart;
begin
    FPingThread:= TPingThread.Create(FHostName);
    FPingThread.OnTerminate:= PingThreadDone;
end;

procedure TfmMain.PingThreadDone(Sender: TObject);
var
  Lsucc: Boolean;
begin
    Lsucc:= Boolean(FPingThread.ReturnValue);
    if Lsucc then
        Self.Caption:= 'Connected to ' + FObject.HostName
    else
        MessageBox(Self.Handle, PChar(FObject.HostName + ' not available'), '', MB_OK or MB_ICONINFORMATION);
end;