I saw this quote on the Microsoft website:
https://learn.microsoft.com/en-US/troubleshoot/browsers/wininet-not-supported-in-services
In order to understand the limitations unique to using WinInet in a server environment, it is necessary to understand WinInet's history. WinInet was developed for use by Internet Explorer. In fact, to use later versions of WinInet, you must load a minimal installation of Internet Explorer.
I don't understand something: is WinInet a Windows API or an InternetExplorer API? An application written using WinInet without Internet Explorer itself - will it work?
The article you provided is discussing the use of WinInet.dll in a service or an Internet Information Server (IIS) application.
If you need to use the latest version of WinInet in IIS applications, you need to load the minimal installation of Internet Explorer.
If we know more about WinInet, there will be no such doubts.
The WinINet API was added to Windows in Windows NT4 and Windows 95. This API set is located in Wininet.dll and is used by WinINET-aware applications such as Internet Explorer, Media Player, and Instant Messenger. The WinINET API itself enables applications to interact with the Gopher, FTP and HTTP protocols. WinINet abstracts these protocols to provide application developers with an interface that resembles standard file IO.
More details: Under the Hood: WinINet