//Correct command
netsh winhttp set proxy proxy.net.org:8080
Reference:
http://stackoverflow.com/questions/1041886/how-can-i-specify-a-proxy-configuration-using-microsoft-xmlhttp
http://support.microsoft.com/kb/289481/en-us
http://msdn.microsoft.com/en-us/library/ms760236
http://support.microsoft.com/kb/289481/zh-tw
http://www.logikdev.com/2010/07/07/use-serverxmlhttp-through-proxy/
Note:
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Remember to open command window as administrator or command will be denied.
cmd -> (right click) -> as administrator