Para aprender desde el fondo, no useis el winsock que es un ocx mas prefabricado.
Para hacer peticiones http usar las apis que os permiten mandar cabeceras, elegir el metodo, cookies, recibir la pagina y demas...
Private Declare Function InternetOpen Lib "wininet" Alias "InternetOpenA" (ByVal sAgent As String, ByVal lAccessType As Long, ByVal sProxyName As String, ByVal sProxyBypass As String, ByVal lFlags As Long) As Long
Private Declare Function InternetConnect Lib "wininet.dll" Alias "InternetConnectA" (ByVal hInternetSession As Long, ByVal sServerName As String, ByVal nServerPort As Integer, ByVal sUserName As String, ByVal sPassword As String, ByVal lService As Long, ByVal lFlags As Long, ByVal lContext As Long) As Long
Private Declare Function HttpOpenRequest Lib "wininet.dll" Alias "HttpOpenRequestA" (ByVal hHttpSession As Long, ByVal sVerb As String, ByVal sObjectName As String, ByVal sVersion As String, ByVal sReferer As String, ByVal something As Long, ByVal lFlags As Long, ByVal lContext As Long) As Long
Private Declare Function HttpSendRequest Lib "wininet.dll" Alias "HttpSendRequestA" (ByVal hHttpRequest As Long, ByVal sHeaders As String, ByVal lHeadersLength As Long, ByVal sOptional As String, ByVal lOptionalLength As Long) As Long
Private Declare Function InternetCloseHandle Lib "wininet.dll" (ByVal hInet As Long) As Integer
http://articulos.conclase.net/jm/prog/cpp/wininethttp_2.html