Sven Groot, whose IE BHO development tips I mentioned earlier, has another great post on using the IXMLHTTPRequest object asynchronously in C++. He explains exactly how to use that object’s callback from C++, with a code example. This was the problem that forced me to write my own implementation, since the official documentation had no explanation of how to do this. The other examples I could find had the bits I was interested in mixed with a lot of other functionality, and I didn’t have the knowledge to disentangle them.
I’d highly recommend taking a serious look at Sven’s example if you’re looking for a way to do XMLHttpRequest’s in C++, it really helped me understand what was going on!