InternetOpenでASYNCを指定したので、EventとCallBackを設定します。
ここまでを一連のソースで。。。

 BOOL bResult;
 DWORD dwResult;

 //*****************************************
 //***** Establish Internet Connection *****
 //*****************************************
 StepProgressbar(NULL); // 1. Increase Progressbar

 PROXY_CONFIG pcProxy;
 BOOL bDirect = TRUE;
 {
  // Confirm and have a path to the Internet.
  HANDLE hConn;
  hConn = SC_EstablishInetConnProc (hDlg, g_dwConnMgrTimeOut);
  if (!hConn) {
   hInternet = hConnect = NULL;

   return FALSE;
  }

  // Need Proxy to the Internet?
  memset(&pcProxy, 0, sizeof(PROXY_CONFIG));

  HRESULT hResult = SC_GetProxyInfo(hConn, &pcProxy);
  if (hResult == S_OK)
   bDirect = FALSE;
 }

 StepProgressbar(NULL); // 2. Increase Progressbar

 //*****************************************
 //******* Initializes an application ******
 //******* use of the Windows CE      ******
 //******* Internet functions.        ******
 //******* hInternet = InternetOpen() ******
 //*****************************************
 if (!hInternet) {
  DWORD dwAccess;
  LPCTSTR lpszProxy;

  if (bDirect) {
   dwAccess  = INTERNET_OPEN_TYPE_DIRECT;
   lpszProxy = NULL;
  } else {
   dwAccess  = INTERNET_OPEN_TYPE_PROXY;
   lpszProxy = pcProxy.szProxyServer;
  }

  s_dwIBSize = 0;
  s_dwIBPos  = 0;

  hInternet = InternetOpen (
    L"KTEEsoftware StockPrice & TodayStock",  // LPCTSTR lpszAgent
    dwAccess,    // DWORD dwAccessType      ,
    lpszProxy,    // LPCTSTR lpszProxy
    NULL,     // LPCTSTR lpszProxyBypass
    INTERNET_FLAG_ASYNC); // DWORD dwFlag

  if (!hInternet) {
   SP_DispError(hDlg, L"Asynch Inet: InternetOpen Error");
   return FALSE;
  }
 //} // End of handle of Internet

  //**********************************************
  //************* Prepare semaphore. *************
  //**********************************************
  hConnectedEvent = CreateEvent(NULL, FALSE, FALSE, L"Connected");
  hReqOpenedEvent = CreateEvent(NULL, FALSE, FALSE, L"RequestOpen");
  hReqCompleEvent = CreateEvent(NULL, FALSE, FALSE, L"RequestComp");

  //**********************************************
  //************* Set CallBack func. *************
  //**********************************************
 //{
  INTERNET_STATUS_CALLBACK lResult;
  lResult = InternetSetStatusCallback(
       hInternet,
       (INTERNET_STATUS_CALLBACK)&Callback);

  if (lResult == INTERNET_INVALID_STATUS_CALLBACK) {
   SP_DispError(hDlg, L"Asynch Inet: InternetSetStatusCallback Error");

   // Close Event and Inet handles
   Close_Handles();

   return FALSE;
  }
    }