In UE4 you can use winhttp of windows. #include <winhttp.h>
use dll?
1.
#include “absolute path”
#pragma comment(lib,“absolute path”)
2.
copy you dll to runtime of UE4.
debug and run (copy to): ????\Engine\Binaries\Win64
release and packing (copy to): WindowsNoEditor"you exe name"\Binaries\Win64