参考文章:

​​VC 设置代理​​

​​Setting and Retrieving Internet Options​​

​​Change Internet Proxy settings​​

​​http://support.microsoft.com/kb/226473​​

Setting Connection Options

In Internet Explorer 5 and later, Internet options can be set for on a specific connection. Previously, all connections shared the same Internet option settings. To set options for a particular connection:

Create an INTERNET_PER_CONN_OPTION_LIST structure.

Allocate the memory for the individual Internet options that you want to set for the connection.

Set the options in INTERNET_PER_CONN_OPTION structures.

Set the options using InternetSetOption.

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BOOL SetConnectionOptions()
{
INTERNET_PER_CONN_OPTION_LIST list;
BOOL bReturn;
DWORD dwBufSize = sizeof(list);

// Fill the list structure.
list.dwSize = sizeof(list);

// NULL == LAN, otherwise connectoid name.
list.pszConnection = NULL;

// Set three options.
list.dwOptionCount = 3;
list.pOptions = new INTERNET_PER_CONN_OPTION[3];

// Ensure that the memory was allocated.
if(NULL == list.pOptions)
{
// Return FALSE if the memory wasn't allocated.
return FALSE;
}

// Set flags.
list.pOptions[0].dwOption = INTERNET_PER_CONN_FLAGS;
list.pOptions[0].Value.dwValue = PROXY_TYPE_DIRECT |
PROXY_TYPE_PROXY;

// Set proxy name.
list.pOptions[1].dwOption = INTERNET_PER_CONN_PROXY_SERVER;
list.pOptions[1].Value.pszValue = TEXT("http://proxy:80");

// Set proxy override.
list.pOptions[2].dwOption = INTERNET_PER_CONN_PROXY_BYPASS;
list.pOptions[2].Value.pszValue = TEXT("local");

// Set the options on the connection.
bReturn = InternetSetOption(NULL,
INTERNET_OPTION_PER_CONNECTION_OPTION, &list, dwBufSize);

// Free the allocated memory.
delete [] list.pOptions;

return bReturn;
}