you need this code
S
list.pOptions[0].dwOption = INTERNET_PER_CONN_FLAGS;
list.pOptions[0].Value.dwValue = PROXY_TYPE_DIRECT |
PROXY_TYPE_PROXY;
list.pOptions[1].dwOption = INTERNET_PER_CONN_PROXY_SERVER;
list.pOptions[1].Value.pszValue = TEXT("http://proxy:80");
list.pOptions[2].dwOption = INTERNET_PER_CONN_PROXY_BYPASS;
list.pOptions[2].Value.pszValue = TEXT("local");
bReturn = InternetSetOption(NULL,
INTERNET_OPTION_PER_CONNECTION_OPTION, &list, dwBufSize);