C / C++ / MFC

LPSTR url = "http://www.codeproject.com";
LPSTR filename = "C:\\codeproject.txt";
int numbytes;
char httpbuff[2048];
CInternetSession mysession;

// CREATE OUR FILE OBJECTS
CFile*      myfile      = new CFile();
CStdioFile* remotefile  = new CStdioFile();

// OPEN THE URL AND READ THE DATA
remotefile = mysession.OpenURL(url,
        1,
        INTERNET_FLAG_TRANSFER_BINARY|INTERNET_FLAG_RELOAD);

// CREATE A FILE FOR WRITING
myfile->Open(filename,
    CFile::modeCreate|CFile::modeWrite|CFile::typeBinary);

// WRITE THE FILE
while (numbytes = remotefile->Read(httpbuff, 2048))
    myfile->Write(httpbuff, numbytes);

// CLEAN UP
myfile->Close();
remotefile->Close();

delete myfile;
delete remotefile;