Reading XML from a URL is easy with by MSXML::IXMLHttpRequest.
Sample code is available at:
However, there are some disadvantages to this interface, which does not give you access to the low level handles if you need to tweak anything. For example, some servers require you to authenticate with a certificate and IXMLHttpRequest provides no way to do this. This interface will also display errors to the user and prompt for required information, so it's not appropriate for an application that will run silently.
Therefore, Microsoft provides a second interface called IServerXMLHTTPRequesthttp://msdn.microsoft.com/en-us/library/windows/desktop/ms762278(v=VS.85).aspx. This interface inherits from IXMLHttpRequest, but it does not use WinInet and so is appropriate for use in servers. It also allows you to explicitly provide a certificate using SXH_OPTION_SELECT_CLIENT_SSL_CERT.