For whoever might ever care for an answer, here’s mine:
I did not solve this issue and went for a complete workaround instead.
We put Toradex .NET CF 3.5 cab installer on our devices and developed a small C# application (“service” from here forward) with the sole job of listening as a TCP server for the input from our main C++ application via a TCP socket on the local address on a custom port and react on that.
Now. how does the service know what to do? We built a small in-house JSON format for the main app to instruct the service on what to do.
Since the service job is to download the content of an URL (we went for WebClient DownloadString and DownloadFIle), it needs to include all the info for the web request:
Url, headers, local file path, and so on, everything the service would need to replace InternetOpenUrl.
We went for this approach because we had this solution already available in another service implemented for handling HTTPS requests and responses, and it just seemed natural to follow through.
Hope this can help