//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

Use ServerXMLHTTP through a proxy

Note:

• Remember to open command window as administrator or command will be denied.
  cmd -> (right click) -> as administrator