You have three questions
1 downloading web page. ask in a networking forum/newsgroup like microsoft.public.inetsdk.programming.wininet, microsoft.public.winhttp
2 parse HTML. It is specific to each web site. There is unlikely a forum for parsing a particular web site's HTML, since the web page's structure can change at anytime based on the server side logic. You are on your own to find the pattern of the web site pages in HTML.
3 save to the database. The data accessing technology to choose is decided by your database, Try locate a data access forum of your database engine.
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Visual C++ MVP