Hi Vijay,
m_pInetSession = new CDerivedInternetSession("Test1", 1, INTERNET_OPEN_TYPE_DIRECT,NULL,
NULL ,INTERNET_FLAG_ASYNC );

you do not pass "Test1" as the first parameter to the constructor,instead pass NULL so that framework can use AfxGetApp() to get
your application name.And also,if you use asynchronous flag INTERNET_FLAG_ASYNC,you have chance to get
the error message "Overlapped I/0 in progress.
Just declare the session object as
m_pInetSession = new CDerivedInternetSession;
you are connecting to which FTP server? you have your own?.
Hope this info. can help you.

Bye
S.Subbi.