Thanks for Ari to clarify on what exactly this tool will set programmtically.
Proxy and WinHttp
"Actually, this tool only sets the proxy settings for winhttp which is a different client http stack then WinInet (the one used by internet explorer and a large number of other applications. You can use the tool to configure winhttp to use the same proxy settings as WinInet as long as the WinInet/IE one are not in an autodetect mode (the default)."
WinInet and IE proxy setting
http://support.microsoft.com/?id=226473 details how to write code to set and read IE/WinInet proxy settings.