C# Signature:

[DllImport("Winhttp.dll", SetLastError = true)]
static extern IntPtr WinHttpOpen(
        String pszAgent,
        UInt32 dwAccessType,
        [MarshalAs(UnmanagedType.LPWStr)] String pszProxyW,
        [MarshalAs(UnmanagedType.LPWStr)] String pszProxyBypass,
        UInt32 dwFlags);

[DllImport("winhttp.dll", SetLastError=true)]
static extern IntPtr WinHttpOpenRequest(
            IntPtr hConnect,
            [MarshalAs(UnmanagedType.LPWStr)] string pwszVerb,
            [MarshalAs(UnmanagedType.LPWStr)] string pwszObjectName,
            [MarshalAs(UnmanagedType.LPWStr)] string pwszVersion,
            [MarshalAs(UnmanagedType.LPWStr)] string pwszReferrer,
            ref byte[] ppwszAcceptTypes,
            int dwFlags);

or

[DllImport("winhttp.dll", SetLastError=true)]
static extern IntPtr WinHttpOpenRequest(
            IntPtr hConnect,
            [MarshalAs(UnmanagedType.LPWStr)] string pwszVerb,
            [MarshalAs(UnmanagedType.LPWStr)] string pwszObjectName,
            [MarshalAs(UnmanagedType.LPWStr)] string pwszVersion,
            [MarshalAs(UnmanagedType.LPWStr)] string pwszReferrer,
            ref byte[] ppwszAcceptTypes,
            InternetFlags dwFlags);

User-Defined Types:

[Flags]
public enum InternetFlags : uint
{
     ESCAPE_PERCENT = 0x00000004,
     NULL_CODEPAGE = 0x00000008,
     ESCAPE_DISABLE = 0x00000040,
     ESCAPE_DISABLE_QUERY = 0x00000080,
     BYPASS_PROXY_CACHE = 0x00000100,
     REFRESH = BYPASS_PROXY_CACHE,
     SECURE = 0x00800000,
     ASYNC = 0x10000000
}

<Flags()> _
Enum InternetFlags As UInteger
   ESCAPE_PERCENT = &H4
   NULL_CODEPAGE = &H8
   ESCAPE_DISABLE = &H40
   ESCAPE_DISABLE_QUERY = &H80
   BYPASS_PROXY_CACHE = &H100
   REFRESH = BYPASS_PROXY_CACHE
   SECURE = &H800000
   ASYNC = &H10000000
End Enum

VB Signature:

Declare Function WinHttpOpenRequest Lib "winhttp.dll" (ByVal hConnect As IntPtr, ByVal pwszVerb As String, ByVal pwszObjectName As String, ByVal pwszVersion As String, ByVal pwszReferrer As String, ByRef ppwszAcceptTypes As Byte(), ByVal dwFlags As InternetFlags) As IntPtr

Declare Function WinHttpOpen Lib "winhttp.dll" (
   ByVal pszAgent As String, _
   ByVal dwAccessType As UInteger, _
   ByVal pszProxyW As String, _
   ByVal pszProxyBypass As String, _
   ByVal dwFlags As UInteger) As IntPtr

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Notes:

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