Since any sort of client program has to first connect to a server before sending anything, as long as you have a connection established your request should get through.
In the event that something does go wrong, here is a link to MSDN's documentation for WinHttpSendRequest() http://msdn.microsoft.com/en-us/library/aa384110(VS.85).aspx
You should look at the different return values in order to handle the different errors.
If WinHttpSendRequest() returns TRUE, then you should be fine. Although, what the server decides to do with your request is another story. It should send you back some type of response that you can query with HttpQueryInfo().