Can't download file using URLDownloadToFile in Visual C++ - c++

Question

This question is about the usage of URLDownloadToFile API.
I am using URLDownloadToFile in Visual C++ MFC application. On Windows server 2008, the program is working fine.
Sample code:
// invalidate cache, so file is always downloaded from web site
// (if not called, the file will be retrieved from the cache if
// it's already been downloaded.)
DeleteUrlCacheEntry(aCSVDownloadURL);
CallbackHandler callbackHandler;
IBindStatusCallback* pBindStatusCallback = NULL;
callbackHandler.QueryInterface(IID_IBindStatusCallback,
reinterpret_cast<void**>(&pBindStatusCallback));
HRESULT hr = URLDownloadToFile(
NULL, // A pointer to the controlling IUnknown interface
DownloadURL,
FileName, // Filename to save the downloaded file in local
0, // Reserved. Must be set to 0.
pBindStatusCallback // Callback interface to catch the download response; basically the file name
);
if (hr == S_OK)
{
cout << "Download OK" << endl;
}
else if (hr == E_OUTOFMEMORY)
{
cout << "The buffer length is invalid, or there is insufficient memory to complete the operation." << endl;
} else if (hr == INET_E_DOWNLOAD_FAILURE)
{
cout << "The specified resource or callback interface was invalid." << endl;
}
else {
cout << "Other error" << endl;
}
But when run the app in Windows Server 2012 R2, I get the below error:
Error code: INET_E_DOWNLOAD_FAILURE
Description: The specified resource or callback interface was invalid.
Have done googling for few hours, but still no luck. It would be very much appreciated if there is a solution.
The program is created using Visual Studio 2015