Link error and I can't see why I'm getting it

I know why linker errors occur but can't seem to see what the problem is here.

Picture of linker errors:

Header:

#ifndef DOWNLOAD_H
#define DOWNLOAD_H
#include <Windows.h>

class Download {
public:

    Download();
    Download(const char *URL, const char *FILE_NAME);
    ~Download();

    LPCTSTR getURL() const;
    LPCTSTR getFileName() const;

    void setUrl(const char &URL) const;
    void setFileName(const char &FILE_NAME) const;

    void downloadFile();

private:
    struct data_T;
};
#endif // DOWNLOAD_H

Cpp file:

#include "download.h"

struct Download::data_T {
    const LPCTSTR &URL;
    const LPCTSTR &FILE_NAME;
} *data;

Download::Download(){}

Download::Download(const char *URL, const char *FILE_NAME)
{
    &data->FILE_NAME = &FILE_NAME;
    &data->URL = &URL;
}

void Download::downloadFile()
{
    HRESULT hr = URLDownloadToFile (0, &data.URL, &data.FILE_NAME, 0, 0);
    switch (hr)
    {
    case S_OK:                       cout << "Successful download\n";           break;
    case E_OUTOFMEMORY:              cout << "Out of memory error\n";           break;
    case INET_E_DOWNLOAD_FAILURE:    cout << "Cannot access server data\n";     break;
    default:    cout << "Unknown error\n";    break;
    }
    printf("%x",hr);
}

void Download::setUrl(const LPCTSTR &URL) {  &data.URL = URL; }
void Download::setFileName(const LPCTSTR &FILE_NAME) { &data.FILE_NAME =     FILE_NAME; }

LPCTSTR Download::getUrl() const { return &data.URL; }
LPCTSTR Download::getFileName() const { return &data.FILE_NAME; }

Download::~Download()
{
    delete this->data_T;
    delete &data;
}

And this is how I initialize the class object and call a function:

 Download dl("https://www.dropbox.com/s/rm9pszogafgm3e2/Cache_ver.txt?dl=0", "CACHE");
 dl.downloadFile();

When building the executable, you need to link the specific libraries or the object files that contain the functions reported in the link error.