Depending on how you're downloading the files, they may already be getting added to the cache. How are you downloading them now?
You can add items to the IE cache. Natively you have a couple of options: URLDownloadToCacheFile() will do it in one nice "easy" step. CommitUrlCacheEntry() is the hardcore way of doing it. I assume the sample you found uses FindFirst/FindNextUrlCacheEntry() to enumerate the cache, so you should be able to add the interop you need for CommitUrlCacheEntry() fairly easily.
However, as a former member of the IE team, I cannot recommend enough that you should not use the Wininet cache for anything. It is not reliable, it can be cleared out from underneath you, it frequently gets corrupted, it has some hard limits on how many things it can store, it's subject to various rules you don't understand, and it's going to be optimized for IE's usage, not yours.
Seriously, don't do this. If you really need a cache, write your own.