Winhttp.h error during compile process: 'WinHttpOpen' was not declared in this scope

I try figure out, why gcc/g++ compiler throw error likie this:

.\http.cpp: In function 'int main()':.\http.cpp:14:5: error: 'WinHttpOpen' was not declared in this scope     WinHttpOpen(  L"A WinHTTP Example Program/1.0", WINHTTP_ACCESS_TYPE_DEFAULT_PROXY,WINHTTP_NO_PROXY_NAME, WINHTTP_NO_PROXY_BYPASS, 0);

Below i put my code. It is pretty weird, because i wrote that code according to in MSDN Documentation.

#include <stdio.h>#include <winhttp.h>#pragma comment(lib, "winhttp.lib");using namespace std;int main(void){    bool bResults = false;    // HINTERNET hSession = NULL;    // HINTERNET hConnect = NULL;    // HINTERNET hRequest = NULL;    // Use WinHttpOpen to obtain a session handle.    WinHttpOpen(  L"A WinHTTP Example Program/1.0", WINHTTP_ACCESS_TYPE_DEFAULT_PROXY,WINHTTP_NO_PROXY_NAME, WINHTTP_NO_PROXY_BYPASS, 0);    // Specify an HTTP server.    // if (hSession)    //     hConnect = WinHttpConnect( hSession, L"www.wp.pl",    //                                INTERNET_DEFAULT_HTTP_PORT, 0);    // // Create an HTTP Request handle.    // if (hConnect)    //     hRequest = WinHttpOpenRequest( hConnect, L"GET",     //                                    L"/writetst.txt",     //                                    NULL, WINHTTP_NO_REFERER,     //                                    WINHTTP_DEFAULT_ACCEPT_TYPES,     //                                    0);    // Send a Request.    // if (hRequest)     //     bResults = WinHttpSendRequest( hRequest,     //                                    WINHTTP_NO_ADDITIONAL_HEADERS,    //                                    0, WINHTTP_NO_REQUEST_DATA, 0,     //                                    0, 0);    // Place additional code here.    // Report errors.    // if (!bResults)    //     printf("Error %d has occurred.\n",GetLastError());    // // Close open handles.    // if (hRequest) WinHttpCloseHandle(hRequest);    // if (hConnect) WinHttpCloseHandle(hConnect);    // if (hSession) WinHttpCloseHandle(hSession);    return 0;}

Do you have any suggestion?I commented out part of code, but it really doesn't matter, error is always the same.