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