As Viorel indicates, CInternetSession is an MFC class. You should create a project for your MFC application. In other words, begin your project by creating a starter application that uses MFC. Then you will have details such as an #include for afxwin.h done for you.
Unless you have the Express Edition. If you do, then you should ask in the forum for it. I think that MFC is not provided with the Express Edition.