There are just missing instructions on how to get the httprequest.h file. The Windows SDK only has the .idl file. This is somehow unusual, many Windows APIs have the .idl and the .h, some only have .h, some only have .idl ... But you can create the .h from the .idl:

• open Visual Studio's developer command prompt
• type 'midl httprequest.idl /out [your project path]'

This is a sample output:

**********************************************************************
** Visual Studio 2019 Developer Command Prompt v16.5.1
** Copyright (c) 2019 Microsoft Corporation
**********************************************************************

C:\Program Files (x86)\Microsoft Visual Studio\2019\Professional>midl httprequest.idl /out D:\MyPath\MyAppDir
Microsoft (R) 32b/64b MIDL Compiler Version 8.01.0622
Copyright (c) Microsoft Corporation. All rights reserved.
Processing C:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\um\httprequest.idl
httprequest.idl
Processing C:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\um\oaidl.idl
oaidl.idl
Processing C:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\um\objidl.idl
objidl.idl
Processing C:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\um\unknwn.idl
unknwn.idl
Processing C:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\shared\wtypes.idl
wtypes.idl
Processing C:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\shared\wtypesbase.idl
wtypesbase.idl
Processing C:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\shared\basetsd.h
basetsd.h
Processing C:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\shared\guiddef.h
guiddef.h
Processing C:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\um\oaidl.acf
oaidl.acf

It will create 3 files: httprequest.h, httprequest.tlb and httprequest_i.c in your project directory.

Now you should be able to compile the sample code. Note if you include the httprequest_i.c file, you can even remove the manual declaration of IID_IWinHttpRequest in the sample.