I wonder how I can set the proxy server for WinInet programmatically? Actually I want to be able to flip flop the proxy setting (for IE) programmatically. Thanks Victor

1. Pass NULL as the handle to InternetSetOption using the INTERNET_OPTION_PER_CONNECTION_OPTION instead of the legacy INTERNET_OPTION_PROXY (See KB226473: How to programmatically query and set proxy settings under Internet Explorer for more on this step)
2. Call InternetSetOption with INTERNET_OPTION_PROXY_SETTINGS_CHANGED with NULL Buffer and 0 BufferLength to let all the instances of WinInet know to update their proxy settings. You can also use INTERNET_OPTION_SETTINGS_CHANGED but it has side effects on any Keep Alive connections in your current process.

Good luck Victor and sorry for the late response.