Our labs run a mix of Windows Server 2003 and 2008.  Setting a proxy in Windows Server 2003 is as follows:

CMD> proxycfg.exe proxy.fqdn *.first.excluded.domain;*.second.excluded.domain;*.and.so.forth

Windows Server 2008 doesn’t have proxycfg.exe, so the command is:

CMD> netsh.exe winhttp set proxy proxy-server="proxy.fqdn" bypass-list="*.first.excluded.domain;*.second.excluded.domain;*.and.so.forth"

Of course, Windows Server 2003's version of netsh.exe doesn't support setting the proxy...