C++ Http Request fails in open state with ERROR_INVALID_STATE - c++

Question

I am trying to send an HTTP request from a C++ program.
The problem is that I get a 5023 (0x139F) error, which is most probably ERROR_INVALID_STATE.
I have no idea why that happens.
It happens when I use the code from:
http://msdn.microsoft.com/en-us/library/windows/desktop/aa383989(v=vs.85).aspx
and that happens when I run the line:
hr = pIWinHttpRequest->Open(bstrMethod,
bstrUrl,
varFalse);
The code is copied to here:
//code
#include <windows.h>
#include <stdio.h>
#include <objbase.h>
#include "httprequest.h"
#pragma comment(lib, "ole32.lib")
#pragma comment(lib, "oleaut32.lib")
// IID for IWinHttpRequest.
const IID IID_IWinHttpRequest =
{
0x06f29373,
0x5c5a,
0x4b54,
{0xb0, 0x25, 0x6e, 0xf1, 0xbf, 0x8a, 0xbf, 0x0e}
};
int main()
{
// Variable for return value
HRESULT hr;
// Initialize COM
hr = CoInitialize( NULL );
IWinHttpRequest * pIWinHttpRequest = NULL;
BSTR bstrResponse = NULL;
VARIANT varFalse;
VARIANT varEmpty;
CLSID clsid;
VariantInit(&varFalse);
V_VT(&varFalse) = VT_BOOL;
V_BOOL(&varFalse) = VARIANT_FALSE;
VariantInit(&varEmpty);
V_VT(&varEmpty) = VT_ERROR;
hr = CLSIDFromProgID(L"WinHttp.WinHttpRequest.5.1",
&clsid);
if (SUCCEEDED(hr))
{
hr = CoCreateInstance(clsid,
NULL,
CLSCTX_INPROC_SERVER,
IID_IWinHttpRequest,
(void **)&pIWinHttpRequest);
}
if (SUCCEEDED(hr))
{
// Open WinHttpRequest.
BSTR bstrMethod = SysAllocString(L"GET");
BSTR bstrUrl = SysAllocString(L"http://microsoft.com");
hr = pIWinHttpRequest->Open(bstrMethod,
bstrUrl,
varFalse);
SysFreeString(bstrMethod);
SysFreeString(bstrUrl);
}
if (SUCCEEDED(hr))
{
// Send Request.
hr = pIWinHttpRequest->Send(varEmpty);
}
if (SUCCEEDED(hr))
{
// Get Response text.
hr = pIWinHttpRequest->get_ResponseText(&bstrResponse);
}
if (SUCCEEDED(hr))
{
// Print the response to a console.
wprintf(L"%.256s",bstrResponse);
}
// Release memory.
if (pIWinHttpRequest)
pIWinHttpRequest->Release();
if (bstrResponse)
SysFreeString(bstrResponse);
CoUninitialize();
return 0;
}
Your help is appreciated.
I use Windows 7 64 bit if this matters in anyway.
On another machine Windows 7 64 bit machine the same code worked for me, so that must be an environment issue.
If anyone knows what to look for, it will be great.
Thanks,
Ronen