URL decode function optimization
This is doomed to failure:

struct StringArg
{
    int length;
    char* data;
    StringArg(const char* inData)
    {
        length = strlen(inData);
        data = new char[length+1];
        strcpy(data, inData);
    }
};


This can only lead to disaster. It is unlikely it is more efficient than std::string and is much more likely to lead to memory leaks.

Use std::string it will work is correct and has been optimized very heavily you can not beat it using your own hand written one. This is a premature optimization. 

Same Again:

struct StringReturn
{
    int size;
    char* data;
    StringReturn(int inSize)
    {
        size = inSize;
        data = new char[size+1];
    }
};


Don't pass pointers around:

StringArg* stringArg(char* line)
{
    return new StringArg(line);
}


Use std::unique_ptr to encapsulate the pointer object so that it does correct memory management. If you are doing things correctly the resulting code optimizes to a no-op and if you don't do things correctly it saves your ass. In fact I would just throw away your string classes and use std::string. The copy construction from a return is nearly always elided by NRVO and thus is much more efficient than you seem to think.

Same Again

StringReturn* stringReturnInfo(int size)
{
    return new StringReturn(size);
}


Manually copying a C-string is very painful. Use std::string

    int lengths = str-&gt;length;
    char* urlData = new char[lengths+1];
    char* fmt = new char[4];
    memcpy(urlData, str-&gt;data, str-&gt;length);
    urlData[lengths] = 0;

    // Or you can do:

    std::string urlData = line;


Also your code is not exception safe.
Please use RIAA to make sure that there are no leaks (or use std::string that does this already).

The definition of a URL can be found here: http://tools.ietf.org/html/rfc3986
Pretending the '+' is a space is only valid in the path section of a URI and not valid in the query or fragment parts of the URI thus scanning the whole string for '+' is not correct.


  I also need to completely decode the string. I am aware of double encoded attacks


The specification does not allow for double (or nested) encoding. If it decodes to another '%' then that is the value. You don't try and re-interpret that value.