LccWin32 is a odd case, C compiler with some extra c++ features and incompatibilities.
standard function strcpy should use __cdecl calling convention.
HRESULT URLDownloadToFile(
LPUNKNOWN pCaller,
LPCTSTR szURL,
LPCTSTR szFileName,
_Reserved_ DWORD dwReserved,
LPBINDSTATUSCALLBACK lpfnCB
);
urlmon.lib is part of Windows SDK and urlmon.h and urlmon.lib are included in PellesC
#include <urlmon.h>
#pragma comment(lib, "urlmon.lib")
...
HRESULT hr = URLDownloadToFile(NULL,szURL,szFileName,0,NULL);