If you really want to use the SSL provider functions in CNG, may I ask why? Schannel has not become deprecated, as far as I know, and for Schannel, there is client/server sample code in the Server 2003 platform SDK (in Samples\Security\SSPI\SSL).
I just noticed that there is a new Cryptographic Provider Development Kit, apparently released just a month ago. It claims to be an updated version of the CNG SDK (which is why I noticed it at all), but its emphasis is of course on implementing cryptography providers, not clients. The new release notes even say: "Code samples which demonstrate how to use the CNG API have been moved to the Windows SDK." But even in the CNG SDK that I used to know, there was sample code for an SSL provider, but not for an SSL client.
Good luck.