Download a File in C++

Hi, I want to be able to download a file from the internet and put it into to a file on my computer. I thought I could access files on the internet with fopen but I can't therefore I need to download it. I also don't have the headers:
-urlmon.h-
-curl/curl.h-
on my compiler, so if you can give me a download link and a way to use those two headers, I'll be very grateful, also, if there is another way to download files, I could use that too, thanks.
Windows has wininet and sockets, linux has sockets too, but if you want a elegant solution use cURL library.
http://curl.haxx.se/
It is super easy in Windows. Use URLDownloadToFile(). See http://msdn.microsoft.com/en-us/library/ms775123%28VS.85%29.aspx for details.
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