I see some horrible solutions for this out on the web.  Most involve setting the proxy for the entire machine and then toggling it back off.  Here is a class that will allow you to set it ONLY FOR THE PROCESS that the control is hosted in.  You could call it like this:

WinInetInterop.SetConnectionProxy(“localhost:8888”);

and then restore it to the default set in IE with this call:

// read the default settings for IE and restore these as the proxy
WinInetInterop.RestoreSystemProxy();
           

Let me know if you thought this was useful!

Listing:

Using System;
using System.Runtime.InteropServices;


namespace SetProxy
{
    public static class WinInetInterop
    {
        public static string applicationName;

            [DllImport("wininet.dll", SetLastError = true, CharSet = CharSet.Auto)]
            private static extern IntPtr InternetOpen(
                string lpszAgent, int dwAccessType, string lpszProxyName,
                string lpszProxyBypass, int dwFlags);

            [DllImport("wininet.dll", SetLastError = true)]
            [return: MarshalAs(UnmanagedType.Bool)]
            private static extern bool InternetCloseHandle(IntPtr hInternet);

            [StructLayout(LayoutKind.Sequential, CharSet = CharSet.Ansi)]
            private struct INTERNET_PER_CONN_OPTION_LIST
            {
                public int Size;

                // The connection to be set. NULL means LAN.
                public System.IntPtr Connection;

                public int OptionCount;
                public int OptionError;

                // List of INTERNET_PER_CONN_OPTIONs.
                public System.IntPtr pOptions;
            }
            private enum INTERNET_OPTION
            {
                // Sets or retrieves an INTERNET_PER_CONN_OPTION_LIST structure that specifies
                // a list of options for a particular connection.
                INTERNET_OPTION_PER_CONNECTION_OPTION = 75,

                // Notify the system that the registry settings have been changed so that
                // it verifies the settings on the next call to InternetConnect.
                INTERNET_OPTION_SETTINGS_CHANGED = 39,

                // Causes the proxy data to be reread from the registry for a handle.
                INTERNET_OPTION_REFRESH = 37

            }

            private enum INTERNET_PER_CONN_OptionEnum
            {
                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,
                INTERNET_PER_CONN_AUTOCONFIG_SECONDARY_URL = 6,
                INTERNET_PER_CONN_AUTOCONFIG_RELOAD_DELAY_MINS = 7,
                INTERNET_PER_CONN_AUTOCONFIG_LAST_DETECT_TIME = 8,
                INTERNET_PER_CONN_AUTOCONFIG_LAST_DETECT_URL = 9,
                INTERNET_PER_CONN_FLAGS_UI = 10
            }
            private const int INTERNET_OPEN_TYPE_DIRECT = 1;  // direct to net
            private const int INTERNET_OPEN_TYPE_PRECONFIG = 0; // read registry
            /// <summary>
            /// Constants used in INTERNET_PER_CONN_OPTON struct.
            /// </summary>
            private enum INTERNET_OPTION_PER_CONN_FLAGS
            {
                PROXY_TYPE_DIRECT = 0x00000001,   // direct to net
                PROXY_TYPE_PROXY = 0x00000002,   // via named proxy
                PROXY_TYPE_AUTO_PROXY_URL = 0x00000004,   // autoproxy URL
                PROXY_TYPE_AUTO_DETECT = 0x00000008   // use autoproxy detection
            }

            /// <summary>
            /// Used in INTERNET_PER_CONN_OPTION.
            /// When create a instance of OptionUnion, only one filed will be used.
            /// The StructLayout and FieldOffset attributes could help to decrease the struct size.
            /// </summary>
            [StructLayout(LayoutKind.Explicit)]
            private struct INTERNET_PER_CONN_OPTION_OptionUnion
            {
                // A value in INTERNET_OPTION_PER_CONN_FLAGS.
                [FieldOffset(0)]
                public int dwValue;
                [FieldOffset(0)]
                public System.IntPtr pszValue;
                [FieldOffset(0)]
                public System.Runtime.InteropServices.ComTypes.FILETIME ftValue;
            }

            [StructLayout(LayoutKind.Sequential)]
            private struct INTERNET_PER_CONN_OPTION
            {
                // A value in INTERNET_PER_CONN_OptionEnum.
                public int dwOption;
                public INTERNET_PER_CONN_OPTION_OptionUnion Value;
            }
            /// <summary>
            /// Sets an Internet option.
            /// </summary>
            [DllImport("wininet.dll", CharSet = CharSet.Ansi, SetLastError = true)]
            private static extern bool InternetSetOption(
                IntPtr hInternet,
                INTERNET_OPTION dwOption,
                IntPtr lpBuffer,
                int lpdwBufferLength);

            /// <summary>
            /// Queries an Internet option on the specified handle. The Handle will be always 0.
            /// </summary>
            [DllImport("wininet.dll", CharSet = CharSet.Ansi, SetLastError = true,
                EntryPoint = "InternetQueryOption")]
            private extern static bool InternetQueryOptionList(
                IntPtr Handle,
                INTERNET_OPTION OptionFlag,
                ref INTERNET_PER_CONN_OPTION_LIST OptionList,
                ref int size);

            /// <summary>
            /// Set the proxy server for LAN connection.
            /// </summary>
            public static bool SetConnectionProxy(string proxyServer )
            {

                IntPtr hInternet = InternetOpen(applicationName,INTERNET_OPEN_TYPE_DIRECT, null, null, 0);

                //// Create 3 options.
                //INTERNET_PER_CONN_OPTION[] Options = new INTERNET_PER_CONN_OPTION[3];

                // Create 2 options.
                INTERNET_PER_CONN_OPTION[] Options = new INTERNET_PER_CONN_OPTION[2];

                // Set PROXY flags.
                Options[0] = new INTERNET_PER_CONN_OPTION();
                Options[0].dwOption = (int)INTERNET_PER_CONN_OptionEnum.INTERNET_PER_CONN_FLAGS;
                Options[0].Value.dwValue = (int)INTERNET_OPTION_PER_CONN_FLAGS.PROXY_TYPE_PROXY;

                // Set proxy name.
                Options[1] = new INTERNET_PER_CONN_OPTION();
                Options[1].dwOption =
                    (int)INTERNET_PER_CONN_OptionEnum.INTERNET_PER_CONN_PROXY_SERVER;
                Options[1].Value.pszValue = Marshal.StringToHGlobalAnsi(proxyServer);

                //// Set proxy bypass.
                //Options[2] = new INTERNET_PER_CONN_OPTION();
                //Options[2].dwOption =
                //    (int)INTERNET_PER_CONN_OptionEnum.INTERNET_PER_CONN_PROXY_BYPASS;
                //Options[2].Value.pszValue = Marshal.StringToHGlobalAnsi("local");

                //// Allocate a block of memory of the options.
                //System.IntPtr buffer = Marshal.AllocCoTaskMem(Marshal.SizeOf(Options[0])
                //    + Marshal.SizeOf(Options[1]) + Marshal.SizeOf(Options[2]));

                // Allocate a block of memory of the options.
                System.IntPtr buffer = Marshal.AllocCoTaskMem(Marshal.SizeOf(Options[0])
                    + Marshal.SizeOf(Options[1]));

                System.IntPtr current = buffer;

                // Marshal data from a managed object to an unmanaged block of memory.
                for (int i = 0; i < Options.Length; i++)
                {
                    Marshal.StructureToPtr(Options[i], current, false);
                    current = (System.IntPtr)((int)current + Marshal.SizeOf(Options[i]));
                }

                // Initialize a INTERNET_PER_CONN_OPTION_LIST instance.
                INTERNET_PER_CONN_OPTION_LIST option_list = new INTERNET_PER_CONN_OPTION_LIST();

                // Point to the allocated memory.
                option_list.pOptions = buffer;

                // Return the unmanaged size of an object in bytes.
                option_list.Size = Marshal.SizeOf(option_list);

                // IntPtr.Zero means LAN connection.
                option_list.Connection = IntPtr.Zero;

                option_list.OptionCount = Options.Length;
                option_list.OptionError = 0;
                int size = Marshal.SizeOf(option_list);

                // Allocate memory for the INTERNET_PER_CONN_OPTION_LIST instance.
                IntPtr intptrStruct = Marshal.AllocCoTaskMem(size);

                // Marshal data from a managed object to an unmanaged block of memory.
                Marshal.StructureToPtr(option_list, intptrStruct, true);

                // Set internet settings.
                bool bReturn = InternetSetOption(hInternet,
                    INTERNET_OPTION.INTERNET_OPTION_PER_CONNECTION_OPTION, intptrStruct, size);

                // Free the allocated memory.
                Marshal.FreeCoTaskMem(buffer);
                Marshal.FreeCoTaskMem(intptrStruct);
                InternetCloseHandle(hInternet);

                // Throw an exception if this operation failed.
                if (!bReturn)
                {
                    throw new ApplicationException(" Set Internet Option Failed!");
                }

                return bReturn;
            }

 


            /// <summary>
            /// Backup the current options for LAN connection.
            /// Make sure free the memory after restoration.
            /// </summary>
            private static INTERNET_PER_CONN_OPTION_LIST GetSystemProxy()
            {

                // Query following options.
                INTERNET_PER_CONN_OPTION[] Options = new INTERNET_PER_CONN_OPTION[3];

                Options[0] = new INTERNET_PER_CONN_OPTION();
                Options[0].dwOption = (int)INTERNET_PER_CONN_OptionEnum.INTERNET_PER_CONN_FLAGS;
                Options[1] = new INTERNET_PER_CONN_OPTION();
                Options[1].dwOption = (int)INTERNET_PER_CONN_OptionEnum.INTERNET_PER_CONN_PROXY_SERVER;
                Options[2] = new INTERNET_PER_CONN_OPTION();
                Options[2].dwOption = (int)INTERNET_PER_CONN_OptionEnum.INTERNET_PER_CONN_PROXY_BYPASS;

                // Allocate a block of memory of the options.
                System.IntPtr buffer = Marshal.AllocCoTaskMem(Marshal.SizeOf(Options[0])
                    + Marshal.SizeOf(Options[1]) + Marshal.SizeOf(Options[2]));

                System.IntPtr current = (System.IntPtr)buffer;

                // Marshal data from a managed object to an unmanaged block of memory.
                for (int i = 0; i < Options.Length; i++)
                {
                    Marshal.StructureToPtr(Options[i], current, false);
                    current = (System.IntPtr)((int)current + Marshal.SizeOf(Options[i]));
                }

                // Initialize a INTERNET_PER_CONN_OPTION_LIST instance.
                INTERNET_PER_CONN_OPTION_LIST Request = new INTERNET_PER_CONN_OPTION_LIST();

                // Point to the allocated memory.
                Request.pOptions = buffer;

                Request.Size = Marshal.SizeOf(Request);

                // IntPtr.Zero means LAN connection.
                Request.Connection = IntPtr.Zero;

                Request.OptionCount = Options.Length;
                Request.OptionError = 0;
                int size = Marshal.SizeOf(Request);

                // Query internet options.
                bool result = InternetQueryOptionList(IntPtr.Zero,
                    INTERNET_OPTION.INTERNET_OPTION_PER_CONNECTION_OPTION,
                    ref Request, ref size);
                if (!result)
                {
                    throw new ApplicationException(" Set Internet Option Failed! ");
                }

                return Request;
            }

            /// <summary>
            /// Restore the options for LAN connection.
            /// </summary>
            /// <param name="request"></param>
            /// <returns></returns>
            public static bool RestoreSystemProxy()
            {

                IntPtr hInternet = InternetOpen(applicationName, INTERNET_OPEN_TYPE_DIRECT, null, null, 0);

                INTERNET_PER_CONN_OPTION_LIST request = GetSystemProxy();
                int size = Marshal.SizeOf(request);

                // Allocate memory.
                IntPtr intptrStruct = Marshal.AllocCoTaskMem(size);

                // Convert structure to IntPtr
                Marshal.StructureToPtr(request, intptrStruct, true);

                // Set internet options.
                bool bReturn = InternetSetOption(hInternet,
                    INTERNET_OPTION.INTERNET_OPTION_PER_CONNECTION_OPTION,
                    intptrStruct, size);

                // Free the allocated memory.
                Marshal.FreeCoTaskMem(request.pOptions);
                Marshal.FreeCoTaskMem(intptrStruct);

                if (!bReturn)
                {
                    throw new ApplicationException(" Set Internet Option Failed! ");
                }

                // Notify the system that the registry settings have been changed and cause
                // the proxy data to be reread from the registry for a handle.
                InternetSetOption(hInternet, INTERNET_OPTION.INTERNET_OPTION_SETTINGS_CHANGED,
                    IntPtr.Zero, 0);
                InternetSetOption(hInternet, INTERNET_OPTION.INTERNET_OPTION_REFRESH,
                    IntPtr.Zero, 0);

                InternetCloseHandle(hInternet);

                return bReturn;
            }

    }
}