这种转换一般用于网页地址; 我不知道 Delphi 是不是有现成的函数, 用到了就写了一个.
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//函数:
function ToUTF8Encode(str: string): string;
var
b: Byte;
begin
for b in BytesOf(UTF8Encode(str)) do
Result := Format('%s%%%.2x', [Result, b]);
end;

//测试:
var
str: string;
begin
str := '万一';
str := ToUTF8Encode(str);
ShowMessage(str); //%E4%B8%87%E4%B8%80
end;
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为 "小月124" 写了个反向函数:
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function ToUTF8Decode(const str: string): string;
var
List: TStrings;
tmpStr: AnsiString;
i: Integer;
begin
List := TStringList.Create;
ExtractStrings(['%'], ['%'], PChar(str), List);
SetLength(tmpStr, List.Count);
for i := 0 to List.Count - 1 do
Byte(tmpStr[i+1]) := StrToInt('$' + List[i]);
List.Free;
Result := UTF8Decode(tmpStr);
end;

{ 调用测试 }
procedure TForm1.FormCreate(Sender: TObject);
var
s1: AnsiString;
s2: WideString;
begin
s1 := '%E4%B8%87%E4%B8%80';
s2 := ToUTF8Decode(s1);
ShowMessage(s2); { 万一 }
end;