URLDownloadToFile() not allowing the program to return value

Hello guys.
I am new here, hope we will have good time together.

I've been writing some code and this is part of it:
The file gets downloaded successfully but the downloader wont exit (return value 0). So it remains active.
I am sure the problem is URLDownloadToFile()
Anyone have idea what's going on?
I am using Visual Studio 2010 Express.

Thanks for your time.