#region "Using Proxy"
  <Runtime.InteropServices.DllImport("wininet.dll", SetLastError:=True)> _
    Private Shared Function InternetSetOption(ByVal hInternet As IntPtr, ByVal dwOption As Integer, ByVal lpBuffer As IntPtr, ByVal lpdwBufferLength As Integer) As Boolean
    End Function

    Public Structure Struct_INTERNET_PROXY_INFO
        Public dwAccessType As Integer
        Public proxy As IntPtr
        Public proxyBypass As IntPtr
    End Structure

    Private Sub UseProxy(ByVal strProxy As String)
        Const INTERNET_OPTION_PROXY As Integer = 38
        Const INTERNET_OPEN_TYPE_PROXY As Integer = 3

        Dim struct_IPI As Struct_INTERNET_PROXY_INFO

        struct_IPI.dwAccessType = INTERNET_OPEN_TYPE_PROXY
        struct_IPI.proxy = Marshal.StringToHGlobalAnsi(strProxy)
        struct_IPI.proxyBypass = Marshal.StringToHGlobalAnsi("local")

        Dim intptrStruct As IntPtr = Marshal.AllocCoTaskMem(Marshal.SizeOf(struct_IPI))

        Marshal.StructureToPtr(struct_IPI, intptrStruct, True)

        Dim iReturn As Boolean = InternetSetOption(IntPtr.Zero, INTERNET_OPTION_PROXY, intptrStruct, System.Runtime.InteropServices.Marshal.SizeOf(struct_IPI))
    End Sub
#end region

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UseProxy("Proxy")