Dim regmod
 Set regmod = CreateObject("WScript.Shell")

'Set proxy server and port
regmod.RegWrite "HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings\ProxyServer", 123.123.123.123:1111, "REG_SZ"

'Enable the proxy server
regmod.RegWrite "HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings\ProxyEnable", 1, "REG_DWORD"

Option Explicit

Private Type INTERNET_PROXY_INFO
  dwAccessType    As Long
  lpszProxy       As String
  lpszProxyBypass As String
End Type

Private Const ERROR_INSUFFICIENT_BUFFER = 122
Private Const INTERNET_OPTION_PROXY = 38
Private Const INTERNET_OPEN_TYPE_DIRECT = 1
Private Const INTERNET_OPEN_TYPE_PROXY As Long = 3

Private Declare Function InternetSetOption Lib "wininet.dll" Alias "InternetSetOptionA" ( _
    ByVal hInternet As Long, _
    ByVal dwOption As Long, _
    ByRef lpBuffer As Any, _
    ByVal dwBufferLength As Long _
) As Long

Private Sub cmdProxy_Click()
    Dim iRet As Long
    Dim ProxyInfo As INTERNET_PROXY_INFO
    Dim strProxyInfo As String
    strProxyInfo = InputBox("Plese enter a proxy.", , "http=127.0.0.1:8080")
    If strProxyInfo <> "" Then
        ProxyInfo.dwAccessType = INTERNET_OPEN_TYPE_PROXY
    Else
        ProxyInfo.dwAccessType = INTERNET_OPEN_TYPE_DIRECT
    End If
    ProxyInfo.lpszProxy = strProxyInfo
    ProxyInfo.lpszProxyBypass = "<local>"
    iRet = InternetSetOption(0&, INTERNET_OPTION_PROXY, ProxyInfo, LenB(ProxyInfo))
    If iRet <> 0 Then
        lblStatus.Caption = "Status: Now Using Proxy Service."
    Else
        lblStatus.Caption = "Status: Error in Setting IE Proxy Service."
    End If
End Sub