InternetOpenUrl causes sockets to stay in CLOSE_WAIT state

I open an internet handle using InternetOpen().
Using that handle, I then use InternetOpenUrl() to access an FTP file. That
file does not exsist on the server, so I recieve a NULL handle back. When I
check the error using InternetGetLastResponseInfo(), I get the correct
response.

The problem I am seeing is that the process leaves the socket in a
CLOSE_WAIT state. After a while, I run out of socket resources. Is there any
information on a work around to this issue?

Thanks,
Frank