I've downloaded cURLpp, libcurl and openSSL. I'm a complete beginner and I want to use cURL with my c++ program. Every doc I can find about getting started is written for Unix.
This is not a short or quickly answered question. I would recommend you instead ask specific questions about problems you encounter.
However, here's a PDF guide on how to build libcurl using MSVC 2008:
http://curl.haxx.se/libcurl/c/Using-libcurl-with-SSH-support-in-Visual-Studio-2008.pdf