wininet (internetconnect)

I am usign the wininet function InternetConnect to establish a connection to the internet.
I would like to connect to yahoo.com using my yahoo username and password. I am able to download the url for www.yahoo.com if I am not using a password. however when I use InternetSetOption to set my username and password I cannot download the url which corresponds to that which I am supposed to get, I still just get the normal yahoo.com. I have also tried setting the username and password directly in InternetConnect.
Thanks