Yii does not have such a class. CHttpRequest is for the actual user request, so it’s possible to get the user ip for example.
You can use 3rd party classes in Yii. Maybe Zend Framework does have such a request class? Then you could probably use that class in Yii.
But do you know file_get_contents() is pretty powerful? See here and look out for stream_context_create(). It’s possible to set timeout, user agent and so on.