Only way to be sure is to try it, I don't believe you do since those libraries should come already installed with Windows. However, when creating an installation package using those API functions using VB's Package & Deployment Wizard, it adds those files to the support folder.
URLDownloadToFile:
Operating Systems Supported
Requires Windows NT 4.0 or later; Requires Windows 95 or later
InternetOpen:
Operating Systems Supported
Requires Windows NT 4.0 or later; Win9x/ME: Not supported
Taken from:
http://allapi.mentalis.org/apilist