WinInet vs WinHttp (service or service-like process)
WinINet was designed for human facing applications, and in some cases it displays error messages and connection popups on the user screen. If you use it from a service, or otherwise there is no human that can dismiss the popup, it will block your application. That is why you should not use WinINet unless you are sure user sitting in front of computer and waiting to dismiss the "Setup connection" dialog or error messages.
If my application run with IIS Have I to use WinHTTP instead WinInet?
Neither. IIS has its own HTTP stack with HTTP.sys driver running in kernel mode
If my application run with IIS Have I to use WinHTTP instead WinInet?
If your application is a ISAPI-DLL, the DLL runs in the service-context of IIS. Therefor you should use WinHTTP.