As said previously, there are multiple solutions. I forget what most of them are. You should ask this question in an IE programming newsgroup; it is outside the scope of this forum. It is beneficial for you to ask in a forum in which people familiar with these questions will help you.
There are relevant samples provided with VC and/or the Platform SDK.
If you want to get the raw HTML file exactly as it looks, then you need to use something less common; I forget what it is. If you use the most common solution, then you will get stuff such as the images that are in the page, instead of the HTML that references the image. After downloading the file, you can use various functions to process the HTML. You should ask in a newsgroup or web site in which this question is relevant; the suggestion to parse the HTML using regular expressions is not likely to be suggested by anyone familiar with the extensive capabilities available to process HTML.