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use strict;
use warnings;
...
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";

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