Set system-wide proxy on Windows 7

Configure the proxy as required from Internet Explorer (Tools -> Options -> LAN Settings). Now import these settings system-wide using the following command from an elevated command prompt:

netsh winhttp import proxy source=ie

To show/remove current system-wide setting, use the following:
netsh winhttp show proxy
netsh winhttp reset proxy

This is useful for applications that do not explicitly support setting a proxy, but use the Windows proxy configuration. This setting is preserved across reboots.

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