type
  PPingThreadParam = ^TPingThreadParam;
  TPingThreadParam = record
    IP: string;
    Ping: Integer;
  end;

//...

function PingThread(Param: PPingThreadParam): Integer;
begin
  try
    Param.Ping := u_retPing.ICMPPingRTT(u_retPing.DNSNameToIp(Param.IP), Cardinal(1000));
    Result := Ord(True);
  except
    Result := Ord(False);
  end;
end;

//...

procedure Test();
var
  Param: TPingThreadParam;
  Thread: THandle;
  ThreadId: DWORD;
  ThreadExit: DWORD;
begin
  Param.IP := '127.0.0.1';
  Thread := THandle(
    BeginThread(nil, 0, TThreadFunc(@PingThread), @Param, 0, ThreadId));
  if Thread <> 0 then
  try
    while WaitForSingleObject(Thread, 10) = WAIT_TIMEOUT do
      Application.ProcessMessages();

    if not GetExitCodeThread(Thread, ThreadExit) then
      ThreadExit := Ord(False);

    if Boolean(ThreadExit) then
      ShowMessage('Ping: ' + IntToStr(Param.Ping))
    else
      ShowMessage('PingThread failed');
  finally
    CloseHandle(Thread);
  end;
end;