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.