Downloading a file using C++
Oh come on man, seriously... please try entering "URLDownloadToFile C++ example" in Google and the first page should return at least a few full C or C# examples. Should be fairly easy to convert to C++.
I know, sorry about the "Google it" reply but you're really asking very basic questions as if you want someone to write the code for you.
Here's a C example, right from the first results page: http://www.go4expert.com/articles/download-file-using-urldownloadtofile-c-t28721/
I personally wouldn't use that function to download a file because maybe I don't want to save to disk the file, maybe I want just to keep the downloaded content in a buffer, or maybe let's say I implement a sort of update system for my application and I basically download a compressed file and I decompress it on the fly as the download progresses.
If you only need to download from unencrypted http, you should learn how to work with Winsock.

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