Here's a function that I think will do what you want:
#include "windows.h"
#include "wininet.h"
#pragma comment(lib, "wininet.lib")
bool WebLinkExists(LPCTSTR url)
{
    bool linkExists = false;
    HINTERNET hInternet = ::InternetOpen(_T("LinkChecker"), INTERNET_OPEN_TYPE_PRECONFIG, NULL, NULL, 0);
    if (hInternet != NULL)
    {
        HINTERNET hRequest = ::InternetOpenUrl(hInternet, url, NULL, 0, INTERNET_FLAG_RELOAD, NULL);
        if (hRequest != NULL)
        {
            DWORD buffer = 0, bufferLength = sizeof(DWORD);
            ::HttpQueryInfo(hRequest, HTTP_QUERY_STATUS_CODE | HTTP_QUERY_FLAG_NUMBER, &buffer, &bufferLength, NULL);
            linkExists = (buffer == HTTP_STATUS_OK);
            ::InternetCloseHandle(hRequest);
        }
        ::InternetCloseHandle(hInternet);
    }
    return linkExists;
}
- Elton