Why do you want to go through all the trouble of making a connection with Winsock? You could simply use this API call:

VB Code:
  1. Private Declare Function URLDownloadToFile Lib "urlmon" _
  2. Alias "URLDownloadToFileA" (ByVal pCaller As Long, ByVal szURL As String, _
  3. ByVal szFileName As String, ByVal dwReserved As Long, ByVal lpfnCB As Long) As Long