I am glad to find you are thinking the same problem as me. There are two ways to do it:
1.Using IE ActiveX(IWebBrowser).This way is very simple because this Activex provides some functions to user.You only call those functions and methods in your program.By the way,your browser have to depend on IE4.0 and special tasks which you want to realize in your browser can't be realized easy.
2.Another way is more difficult than the first.First you should master HTTP,HTML and so on. Then write a lot of code modulars to realize the www communication,interpret HTML files and show those data(such as:text, gif, jpg and so on).
I designed a browser by myself by the second way in the past year. According to my experience,it's a hard but interesting work.