How to download a file with WinHTTP in C/C++?

I know how to download an html/txt page. For example :

//Variables 
DWORD dwSize = 0;
DWORD dwDownloaded = 0;
LPSTR pszOutBuffer;
vector <string>  vFileContent;
BOOL  bResults = FALSE;
HINTERNET  hSession = NULL, 
           hConnect = NULL,
           hRequest = NULL;

// Use WinHttpOpen to obtain a session handle.
hSession = WinHttpOpen( L"WinHTTP Example/1.0",  
                        WINHTTP_ACCESS_TYPE_DEFAULT_PROXY,
                        WINHTTP_NO_PROXY_NAME, 
                        WINHTTP_NO_PROXY_BYPASS, 0);

// Specify an HTTP server.
if (hSession)
    hConnect = WinHttpConnect( hSession, L"nytimes.com",
                               INTERNET_DEFAULT_HTTP_PORT, 0);

// Create an HTTP request handle.
if (hConnect)
    hRequest = WinHttpOpenRequest( hConnect, L"GET", L"/ref/multimedia/podcasts.html",
                                   NULL, WINHTTP_NO_REFERER, 
                                   NULL, 
                                   NULL);

// Send a request.
if (hRequest)
    bResults = WinHttpSendRequest( hRequest,
                                   WINHTTP_NO_ADDITIONAL_HEADERS,
                                   0, WINHTTP_NO_REQUEST_DATA, 0, 
                                   0, 0);


// End the request.
if (bResults)
    bResults = WinHttpReceiveResponse( hRequest, NULL);

// Keep checking for data until there is nothing left.
if (bResults)
    do 
    {

        // Check for available data.
        dwSize = 0;
        if (!WinHttpQueryDataAvailable( hRequest, &dwSize))
            printf( "Error %u in WinHttpQueryDataAvailable.\n",
                    GetLastError());

        // Allocate space for the buffer.
        pszOutBuffer = new char[dwSize+1];
        if (!pszOutBuffer)
        {
            printf("Out of memory\n");
            dwSize=0;
        }
        else
        {
            // Read the Data.
            ZeroMemory(pszOutBuffer, dwSize+1);

            if (!WinHttpReadData( hRequest, (LPVOID)ps