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This trick is for Win9x Registry

Try this if you want to set up a proxy, or are having problems with your current one.
Run Regedit and go to:

HKEY_LOCAL_MACHINE\Config\0001\Software\Microsoft\windows\CurrentVersion\Internet Settings

First, set “EnableAutodial” to 1 if you use a dialup proxy service. Next, double-click “ProxyEnable” and replace the Decimal value of 0 with 1.
Your proxy is now fully enabled