You can easily set up your proxy settings for Windows Update and other background processes by using the commandline utility netsh.
Show the current settings:
netsh winhttp show proxy
Set up a basic proxy server:
netsh winhttp set proxy ip-or-host:port
Set up a proxy with a bypass list: "ip-or-domain" will not use the proxy:
netsh winhttp set proxy myproxy:80 ";ip-or-domain"
Set up individual proxy servers for each protocol accept for those in the bypass list:
netsh winhttp set proxy proxy -server= "http=ip-or-host:80 ;https=ip-or-host:88" bypass-list= "*.contoso.com"
To import the settings from Internet Explorer:
netsh winhttp import proxy source=ie
To clear and reset the proxy settings:
netsh winhttp reset proxy
Note that many of these settings can be overridden through GPO.
XP uses proxycfg for the configuration of proxy settings.
Show the current proxy settings:
Set up basic proxy server settings:
proxycfg -p ip-or-host:port
Set up a proxy server with a bypass list:
proxycfg -p ip-or-host:port "*.contoso.com"
Import proxy settings from Internet Explorer (current user):
Reset and clear the proxy settings; this sets up direct access: