[Vayrus]

Как вариант:

Код:

Procedure SetProxy(cost Server: String);
var
Reg : TRegistry;
begin
Reg := TRegistry.Create;
Reg.OpenKey('Software\Microsoft\Windows\CurrentVersion\Internet Settings',False);
Reg.WriteString('ProxyServer',Server);
Reg.WriteBool('ProxyEnable,True);
Reg.CloseKey;
Reg.Free;
InternetSetOption(0, INTERNET_OPTION_SETTINGS_CHANGED, 0, 0);
end;

This is how to use:
SetProxy('Proxy:Port');

либо

Код:

uses
  WinInet,
  Windows,
  SysUtils;

type
INTERNET_PER_CONN_OPTION = record
    dwOption: DWORD;
    Value: record
    case Integer of
    1: (dwValue: DWORD);
    2: (pszValue: PAnsiChar);
    3: (ftValue: TFileTime);
    end;
end;

LPINTERNET_PER_CONN_OPTION = ^INTERNET_PER_CONN_OPTION;
INTERNET_PER_CONN_OPTION_LIST = record
  dwSize: DWORD;
  pszConnection: LPTSTR;
  dwOptionCount: DWORD;
  dwOptionError: DWORD;
  pOptions: LPINTERNET_PER_CONN_OPTION;
end;

const
 INTERNET_PER_CONN_FLAGS = 1;
 INTERNET_PER_CONN_PROXY_SERVER = 2;
 INTERNET_PER_CONN_PROXY_BYPASS = 3;
 INTERNET_PER_CONN_AUTOCONFIG_URL = 4;
 INTERNET_PER_CONN_AUTODISCOVERY_FLAGS = 5;
 PROXY_TYPE_DIRECT = $00000001; 
 PROXY_TYPE_PROXY = $00000002; 
 PROXY_TYPE_AUTO_PROXY_URL = $00000004; 
 PROXY_TYPE_AUTO_DETECT = $00000008; 
 INTERNET_OPTION_REFRESH = 37;
 INTERNET_OPTION_PER_CONNECTION_OPTION = 75;
 INTERNET_OPTION_SETTINGS_CHANGED = 39;

function SetConnectionProxy(const conn_name, proxy_addr : AnsiString) : Boolean;
var
    list     : INTERNET_PER_CONN_OPTION_LIST;
    dwBufSize: DWORD;
    Options  : array[0..2] of INTERNET_PER_CONN_OPTION;
begin
    dwBufSize   := SizeOf(list);
    list.dwSize := dwBufSize;
    list.pszConnection := PAnsiChar(conn_name);
    list.dwOptionCount := 3;
    list.pOptions      := @Options;

    // Set the flags
    Options[0].dwOption      := INTERNET_PER_CONN_FLAGS;
    Options[0].Value.dwValue := PROXY_TYPE_DIRECT OR PROXY_TYPE_PROXY;
    // Set proxy name
    Options[1].dwOption      := INTERNET_PER_CONN_PROXY_SERVER;
    Options[1].Value.pszValue:= PAnsiChar(proxy_addr);
    // Set proxy override .
    Options[2].dwOption      := INTERNET_PER_CONN_PROXY_BYPASS;
    Options[2].Value.pszValue:= PAnsiChar('local');

    // Set the new settings
    Result := InternetSetOption(nil, INTERNET_OPTION_PER_CONNECTION_OPTION, @list, dwBufSize);
    InternetSetOption(nil, INTERNET_OPTION_SETTINGS_CHANGED, nil, 0);
    InternetSetOption(nil, INTERNET_OPTION_REFRESH , nil, 0);
end;

При этом в браузерах в настройках должна стоять галка типа "Использовать системные настройки прокси"