You want to declare one on the stack instead of as a pointer. A pointer is just a memory address, not the actual instance of the object.
Just change your code to
SOCKADDR_IN sin;
sin.sin_addr.s_addr = htonl(INADDR_ANY);
And then when you need to use it, take the address of it like this: &sin
Edit for original question answer
To initialise a pointer if you really want to would be to do this:
SOCKADDR_IN* sin = (SOCKASSR_IN*)malloc(sizeof(SOCKADDR_IN));
....use sin....
free(sin);
This will allocate you memory on the heap with the size being set to the size of the SOCKADDR_IN struct. But as said before, this is unnecessary and generally should be avoided unless you need to use this structure outside of the current stack frame (function).