According to the MSDN, you can specify an access type parameter to InternetOpen. Two of the options for the dwAccessType parameter are:
INTERNET_OPEN_TYPE_DIRECT - Resolves all host names locally. INTERNET_OPEN_TYPE_PRECONFIG - Retrieves the proxy or direct configuration from the registry.
Which of these should I use? I don't know which would be "better". We don't want our application to do anything clever, all we want it to do is access the internet in a normal way.