MSDN Magazine recently published a great read on changes to web proxy functionality in the .NET Framework 2.0.  In the article, Take the Burden Off Users with Automatic Configuration in .NET, fellow WNDP team member and test lead for the managed network programming APIs (aka System.NET), Durgaprasad Gorti, gives new details about changes to web proxy support in System.NET such as how the System.NET classes now honor the automatic proxy configuration settings as used by Internet Explorer and connection-specific proxy settings. 
 
In his article, Durgaprasad also provides sample code that demonstrates the new functionality and gives a short introduction to the Web Proxy Auto-Discovery Protocol as well.