HINTERNET hSession, hURL;
 if (InternetCheckConnection("http://mysite.ru/exp/v.php",  1 ,  0 )) {
	 hSession = InternetOpen("qwert", INTERNET_OPEN_TYPE_PRECONFIG, NULL, NULL,  0 );
		if (hSession != NULL) {
			try
			{
			   hURL = InternetOpenUrl(hSession, "http://mysite.ru/exp/v.php", NULL,  0 ,  0 ,  0 );
			   if (hURL != NULL){
				int Res;
				Res = URLDownloadToFile(NULL, "http://mysite.ru/exp/v.php", "D:\\downloads\\v.xml",  0 , NULL);
				if (Res ==  0 ) {
					ShowMessage("!");
				}
				else {
					ShowMessage("!!");
				}
			   }
			}
			catch (Exception &exception)
			{
				InternetCloseHandle(hSession);
			}
		}
		else {
			ShowMessage("!!!");
		}
 }

hURL = InternetOpenUrl(hSession, "http://mysite.ru/exp/v.php", NULL,  0 ,  0 ,  0 );

InternetOpenUrl
Opens a resource specified by a complete FTP, Gopher, or HTTP URL.

HINTERNET InternetOpenUrl(
  HINTERNET hInternet,
  LPCTSTR lpszUrl,
  LPCTSTR lpszHeaders,
  DWORD dwHeadersLength,
  DWORD dwFlags,
  DWORD_PTR dwContext
);

Parameters
hInternet 
[in] Handle to the current Internet session. The handle must have been returned by a previous call to InternetOpen. 
lpszUrl 
[in] Pointer to a null-terminated string variable that specifies the URL to begin reading. Only URLs beginning with ftp:, gopher:, http:, or https: are supported. 
lpszHeaders 
[in] Pointer to a null-terminated string that specifies the headers to be sent to the HTTP server. (For more information, see the description of the lpszHeaders parameter in the HttpSendRequest function.) 
dwHeadersLength 
[in] Size of the additional headers, in TCHARs. If this parameter is -1L and lpszHeaders is not NULL, lpszHeaders is assumed to be zero-terminated (ASCIIZ) and the length is calculated.