CInternetSession

Hello! I'm using the new features of VC++ 6.0. It was very easy for me to het an FTP connection and download files from a remote server. Today I have a problem in creating a session to make asynchronous actions.
In compile time the following statement doesn't give any problem, while doesn't work in run time, Can you tell me why?

[m_pInetSession = new CInternetSession((LPCTSTR)sAppName,1,INTERNET_OPEN_TYPE_PRECONFIG,NULL,NULL,INTERNET_FLAG_ASYNC);]

I follow all the suggestions in the MSDN library, there are not anyway examples matching with my needs. Please help me and thanks for attention Bye!!