Although I've never used it before, I just checked (since I thought VB already had one) for this, and yes, there is an ActiveX component already there.
Microsoft Internet Transfer Control is the name you're looking for. This will allow HTTP and FTP, and also allows for a Proxy server to be setup.
Hope that helps you out. More in depth questions on this subject, unfortunately, I cannot answer at this time (but this will be a project to tackle later on for me as well).