DWORD WINAPI CheckDataFromServer(LPVOID lpParameter)
{
    InternetChecker* checker = (InternetChecker*)lpParameter;
    while(checker->GetData() != DATA_I_NEED)
    {
        checker->Update();
    }
}

DWORD WINAPI CheckDataFromServerSupervisor(LPVOID lpParameter)
{
    WaitForSingleObject((HANDLE)lpParameter, 30000); //Ждём 30 секунд
    TerminateThread((HANDLE)lpParameter, 0);
}

void RunCheck()
{
    InternetChecker* checker = new InternetChecker("http://blablabla.html");

    HANDLE thread = CreateThread(nullptr, 0, CheckDataFromServer, checker, 0, nullptr);
    CreateThread(nullptr, 0, CheckDataFromServerSupervisor, thread, 0, nullptr);
}