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function SetProxy(Server: String): Boolean; //Server z.B. '127.0.0.1:8080' oder ''
type
  INTERNET_PER_CONN_OPTION = record
    dwOption: DWORD;
    Value: record
      case Integer of
        1: (dwValue: DWORD);
        2: (pszValue: {$IFDEF DELPHI2009_UP}PWideChar{$ELSE}PAnsiChar{$ENDIF});
        3: (ftValue: TFileTime);
    end;
  end;
  LPINTERNET_PER_CONN_OPTION = ^INTERNET_PER_CONN_OPTION;
  INTERNET_PER_CONN_OPTION_LIST = record
    dwSize: DWORD;
    pszConnection: LPTSTR;
    dwOptionCount: DWORD;
    dwOptionError: DWORD;
    pOptions: LPINTERNET_PER_CONN_OPTION;
  end;
  LPINTERNET_PER_CONN_OPTION_LIST = ^INTERNET_PER_CONN_OPTION_LIST;
const
  INTERNET_PER_CONN_FLAGS = 1;
  INTERNET_PER_CONN_PROXY_SERVER = 2;
  INTERNET_PER_CONN_PROXY_BYPASS = 3;
  INTERNET_PER_CONN_AUTOCONFIG_URL = 4;
  INTERNET_PER_CONN_AUTODISCOVERY_FLAGS = 5;
  PROXY_TYPE_DIRECT = $00000001;
  PROXY_TYPE_PROXY = $00000002;
  PROXY_TYPE_AUTO_PROXY_URL = $00000004;
  PROXY_TYPE_AUTO_DETECT = $00000008;
  INTERNET_OPTION_REFRESH = 37;
  INTERNET_OPTION_PER_CONNECTION_OPTION = 75;
  INTERNET_OPTION_SETTINGS_CHANGED = 39;
var
  OptionsList: INTERNET_PER_CONN_OPTION_LIST;
  BufSize: DWORD;
  HInternet: Pointer;
  Agent: String;
begin
  Result:=false;
  BufSize:=SizeOf(OptionsList);
  OptionsList.dwSize:=BufSize;
  OptionsList.pszConnection:=nil; //nil -> LAN, sonst Verbindungsname
  OptionsList.dwOptionCount:=3; //3 Optionen werden gesetzt
  OptionsList.pOptions:=AllocMem(3*SizeOf(INTERNET_PER_CONN_OPTION));
  try
    if not assigned(OptionsList.pOptions)
      then Exit;
    OptionsList.pOptions^.dwOption:=INTERNET_PER_CONN_FLAGS;
    OptionsList.pOptions^.Value.dwValue:=PROXY_TYPE_DIRECT or PROXY_TYPE_PROXY;
    inc(OptionsList.pOptions);
    OptionsList.pOptions^.dwOption:=INTERNET_PER_CONN_PROXY_SERVER;
    OptionsList.pOptions^.Value.pszValue:=PChar(Server);
    inc(OptionsList.pOptions);
    OptionsList.pOptions^.dwOption:=INTERNET_PER_CONN_PROXY_BYPASS;
    OptionsList.pOptions^.Value.pszValue:='local';
    dec(OptionsList.pOptions,2);
    Agent:=ExtractFileName(Application.ExeName);
    hInternet:=InternetOpen({$IFDEF DELPHI2009_UP}PWideChar{$ELSE}PAnsiChar{$ENDIF}
                            (Agent),INTERNET_OPEN_TYPE_DIRECT,nil,nil,0);
    try //Optionen setzen
      Result:=InternetSetOption(hInternet,INTERNET_OPTION_PER_CONNECTION_OPTION,
                                @OptionsList,BufSize);
      InternetSetOption(hInternet,INTERNET_OPTION_REFRESH,nil,0);
    finally
      InternetCloseHandle(hInternet);
    end;
  finally
    FreeMem(OptionsList.pOptions); //Speicher freigeben
  end;
end;