>class MyClass
>{
> public:
> CInternetSession MySession;
>};
>
>However, when I try to compile it would error out requiring a parameter for the constructor method of the CInternetSession for the class.

All parameters in constructor of the CInternetSession have default values and
CInternetSession MySession;
should be compiled without errors (just tested). What version of VC++ are you using? Have you included < afxinet.h > into StdAfx.h ?

> MyPointerToISession = new (class CInternetSession);
>And it complains again about needing the "parameter" for creation.

Try:
MyPointerToISession = new CInternetSession('MyApp');