What's the recommended way to get winhttp.h?

The best, well-supported way to access the WinHTTP 5.1 APIs from C++ is via the Windows SDK (new name for the Platform SDK) and using those APIs you mentioned.

The article you linked to suggests that installing the SDK is difficult - the good news is its an old article from 2006 and things are much easier these days. Just do the following:

1. Download the latest SDK ISO image from here - don't worry about it being called the "SDK for Windows Server 2008", it's also for Server 2003, XP and Vista.
2. Burn to DVD
3. Run the setup.exe on the DVD, select full installation and let it run for 1/2 hour or so.
4. After installation, goto Start -> Programs -> Microsoft Windows SDK -> Visual Studio Registration -> Integrate Windows SDK with Visual Studio 2005

You may even be prompted to run the integration tool during installation - it's been a while since I installed it so I can't recall exactly.

The Visual C++ compiler will then be able to find winhttp.h and winhttp.lib in the appropriate folders.

Update As usual things are never as simple as they should be. EMK has pointed out that the Windows SDK Configuration Tool doesn't work properly with Visual Studio 2008 (any version) and crashes after installing Visual Studio 2008 SP1. Details and workarounds are reported here and here.

In case anyone comes across this post and is curious about the minimal components that can be installed to get winhttp, installing Microsoft Windows Core SDK > Build Environment > Build Environment (x86 32-bit) worked for me.

You absolutely don't need the whole SDKJust download the right part, see MSDN for choices.