diff --git a/include/wx/msw/private/webrequest_winhttp.h b/include/wx/msw/private/webrequest_winhttp.h
index ad21393ec1..91620bc444 100644
--- a/include/wx/msw/private/webrequest_winhttp.h
+++ b/include/wx/msw/private/webrequest_winhttp.h
@@ -109,7 +109,11 @@ private:
 
     void CreateResponse();
 
-    void SetFailedWithLastError();
+    // Retrieve the error message corresponding to the given error and set the
+    // state to failed with this message as error string.
+    void SetFailed(DWORD errorCode);
+
+    void SetFailedWithLastError() { SetFailed(::GetLastError()); }
 
     friend class wxWebAuthChallengeWinHTTP;
 
diff --git a/src/msw/webrequest_winhttp.cpp b/src/msw/webrequest_winhttp.cpp
index 46ed71bd7a..49532ea78a 100644
--- a/src/msw/webrequest_winhttp.cpp
+++ b/src/msw/webrequest_winhttp.cpp
@@ -196,7 +196,7 @@ void wxWebRequestWinHTTP::HandleCallback(DWORD dwInternetStatus,
                     GetState() == wxWebRequest::State_Cancelled )
                 SetState(wxWebRequest::State_Cancelled);
             else
-                SetState(wxWebRequest::State_Failed, wxWinHTTPErrorToString(asyncResult->dwError));
+                SetFailed(asyncResult->dwError);
             break;
         }
     }
@@ -252,9 +252,9 @@ void wxWebRequestWinHTTP::CreateResponse()
         SetFailedWithLastError();
 }
 
-void wxWebRequestWinHTTP::SetFailedWithLastError()
+void wxWebRequestWinHTTP::SetFailed(DWORD errorCode)
 {
-    wxString failMessage = wxWinHTTPErrorToString(::GetLastError());
+    wxString failMessage = wxWinHTTPErrorToString(errorCode);
     SetState(wxWebRequest::State_Failed, failMessage);
 }