One soldier has died, reportedly from a shot fired by a member of the security forces, and at least 16 people have been injured.
The protesters had earlier left their fortified camp in central Bangkok to drive to a rally 50km (30 miles) away.
(...) Many remained behind in the camp as the convoy set off for the rally at the Talad Thai market. But up to 1,000 protesters boarded pick-up trucks or motorbikes to make their way there.
There was no initial attempt to stop the convoy but hundreds of security forces had set up a checkpoint in Bangkok's northern suburbs. Some fired warning shots into the air.
The BBC's Rachel Harvey in the Thai capital said the soldier who died appeared to have been shot in a "friendly fire" incident during a lull in the clashes. Local hospitals said at least 16 people had been injured.
Army spokesman Sansern Kaewkamnerd told Associated Press news agency: "We brought force out to stop them. Society finds it unacceptable to have protesters travelling in a motorcade like this."
The convoy has now reportedly headed back to its central Bangkok base. One protest leader, Kwanchai Praipanna, said Wednesday's rally had been planned to thank local people for their support.
Our correspondent says the convoy had been going to a northern suburb where earlier in the week protesters had set up a checkpoint to search vehicles for any troops being brought in to reinforce Bangkok.
"Thailand violence flares as red-shirts and troops clash", BBC News, April 29, 2010
About 2,000 red shirts left the main rally site in Rajaprasong and ventured out to Pathum Thani to show support to the 11 red shirts who were arrested after they stopped a military convoy in a roadblock on Monday.
Just past Don Muaeng airport the caravan came to a halt on Vibhavadi-Rangsit Road when clashes with security forces erupted when traffic was still flowing and subsequently civilians in their cars were trapped in the crossfire.
Later that day a video surfaced online (aired on an internet news channel I honestly have never heard of) that supposed to show where the soldier was killed by friendly fire.
The video was taken from a cross walk bridge when a group of soldiers on motorcycle are approaching a military roadblock. In the first seconds you can hear one gunshot and one of the nearest three is falling down, followed by onlooker yelling "They are shooting on themselves!". The remaining troops are stopping at the side and are running for safety behind the bridge piers.
18 red shirts have been reported arrested and despite rumors of red shirt co-leader Kwanchai Praipana's capture, he managed to escape and later appeared back in a McDonald's near the Rajaprasong rally site!
In the evening the Centre for the Resolution of Emergency Situations (CRES) addressed the public, saying it was difficult to distinguish the protesters from other people since the red shirts are not actually wearing red anymore, in order to avoid arrest in case of a crackdown. There has been no mention if the soldier died of friendly fire or not.
In another major development, security forces are reported to have seized 63 M-79 grenades from the protesters. Initially The Nation reported that the weapons were found with a motorcycle rider during a security check, but later during the CRES presser it was implied that the motorcycle driver dropped the bag with the grenades and ran away. The grenades have been displayed at the presser and can be seen here (at the 7:14 minute mark).
As a consequence of today's incidents, the pressure on the red shirts has been even more increased as forces have tightened measure and blocked all roads leading to the rally site.