/* Link with Wininet.lib */
#include <windows.h>
#include <wininet.h>
#include <stdio.h>

int main(void)
{
	HINTERNET hInternet, hFile;
	char buf[1024];
	DWORD bytes_read;
	int finished = 0;
	hInternet = InternetOpen("", INTERNET_OPEN_TYPE_DIRECT, NULL, NULL, 0);
	if (hInternet == NULL) {
		printf("InternetOpen failed\n");
		return 1;
	}
	hFile = InternetOpenUrl(hInternet, "http://www.martinbroadhurst.com", NULL, 0L, 0, 0);
	if (hFile == NULL) {
		printf("InternetOpenUrl failed\n");
		return 1;
	}
	while (!finished) {
		if (InternetReadFile(hFile, buf, sizeof(buf), &bytes_read)) {
			if (bytes_read > 0) {
				printf("%.*s", bytes_read, buf);
			}
			else {
				finished = 1;
			}
		}
		else {
			printf("InternetReadFile failed\n");
			finished = 1;
		}
	}
	InternetCloseHandle(hInternet);
	InternetCloseHandle(hFile);
			
	return 0;
}

Reference: InternetOpenUrl function