use strict;
use warnings;
use Win32::TieRegistry( Delimiter=>"/", ArrayValues=>0 );
use Win32::API;

#proxy in IE is disabled now
my $regpath = 'HKEY_CURRENT_USER/Software/Microsoft/Windows/CurrentVersion/Internet Settings/';
my $penable = $regpath . 'ProxyEnable';
$Registry->{$penable}= '0x00000001';
print my $pe = $Registry->{$penable}; #prints '0x00000001', so value is stored
my $InternetSetOption = Win32::API->new("wininet", "InternetSetOption", [qw(N N N N)], 'N');
$InternetSetOption->Call(0, 39, 0, 0) || die "$!\n";
$InternetSetOption->Call(0, 37, 0, 0) || die "$!\n";

##</code><code>##

resources I've found:
[1] http://msdn.microsoft.com/library/default.asp?url=/library/en-us/wininet/wininet/internetsetoption.asp
[2] http://msdn.microsoft.com/library/default.asp?url=/library/en-us/wininet/wininet/option_flags.asp
[3] http://aspn.activestate.com/ASPN/Mail/Message/pdk/1739515
[4] http://www.codeproject.com/internet/changeproxy1.asp