Perhaps you will find this article and sample-code useful.
Another option to verify WLAN-status would be by reading the following registry-value:
HKEY_LOCAL_MACHINE\System\State\Hardware\Wifi
at least according to this post (which I guess you can easily adapt to native code). If WLAN is on, I guess you can safely let the user download data.
Edit: the values obtained seem to correspond to the following WLAN-status:
0 - powered off
1 or 5 - ready
11 or 15 - connecting
19 or 23 - connected
I am not 100% sure if when WLAN is connected, any other data-services such as 3G will not be used. Maybe this depends on the connection-settings. However, when I am using my device, I noted that if WLAN is connected, it "takes command". If you have the possibility, you should verify this using different devices, perhaps with different operators.
Good luck.