MinGW: Modify internet proxy options

Question

I am trying to modify the proxy settings in C++ without using visual C++. I found this:

const wchar_t* proxyName = pnt.wc_str(); // pnt is a wxString declared earlier in the code.
INTERNET_PER_CONN_OPTION_LIST OptionList;
INTERNET_PER_CONN_OPTION Option[3];
unsigned long listSize = sizeof(INTERNET_PER_CONN_OPTION_LIST);
Option[0].dwOption = INTERNET_PER_CONN_PROXY_SERVER;
Option[1].dwOption = INTERNET_PER_CONN_FLAGS;
Option[2].dwOption = INTERNET_PER_CONN_PROXY_BYPASS;
OptionList.dwSize = sizeof(INTERNET_PER_CONN_OPTION_LIST);
OptionList.pszConnection = NULL;
OptionList.dwOptionCount = 3;
OptionList.dwOptionError = 0;

DWORD proxyType = PROXY_TYPE_DIRECT;

if (proxyName)
{
    if (proxyName[0])
    {
        proxyType = PROXY_TYPE_PROXY;
    }
}

Option[0].Value.pszValue = (LPWSTR)proxyName;
Option[1].Value.dwValue = proxyType;
if (on)
{
    Option[2].Value.pszValue = (LPWSTR)L"";
}
else
{
    Option[2].Value.pszValue = (LPWSTR)L"";
}
OptionList.pOptions = Option;

if (!InternetSetOption(0, INTERNET_OPTION_PER_CONNECTION_OPTION, &OptionList, listSize))
{
    // handle error
}

InternetSetOption(0, INTERNET_OPTION_PROXY_SETTINGS_CHANGED, NULL, NULL);

However because I have to use MinGW and MinGW's wininet.h is very different, I get "'INTERNET_PER_CONN_OPTION_LIST' was not declared in this scope" among other "not declared" messages. In all my searching I have not found anything on it, thanks to visual c++ being so prominent. I found this but it has almost no views, doesn't have any answers, and has not been touched almost a month and it's not even quite what I am looking for. I can't seem to find any documentation either. Any ideas? Thanks in advanced!